Where can I find my .emacs file for Emacs running on Windows?

Copy and pasted from the Emacs FAQ, http://www.gnu.org/software/emacs/windows/:

Where do I put my init file?

On Windows, the .emacs file may be called _emacs for backward compatibility with DOS and FAT filesystems where filenames could not start with a dot. Some users prefer to continue using such a name, because Windows Explorer cannot create a file with a name starting with a dot, even though the filesystem and most other programs can handle it. In Emacs 22 and later, the init file may also be called .emacs.d/init.el. Many of the other files that are created by Lisp packages are now stored in the .emacs.d directory too, so this keeps all your Emacs related files in one place.

All the files mentioned above should go in your HOME directory. The HOME directory is determined by following the steps below:

1. If the environment variable HOME is set, use the directory it indicates.
2. If the registry entry HKCU\SOFTWARE\GNU\Emacs\HOME is set, use the directory it indicates.
3. If the registry entry HKLM\SOFTWARE\GNU\Emacs\HOME is set, use the directory it indicates. Not recommended, as it results in users sharing the same HOME directory.
4. If C:\.emacs exists, then use C:/. This is for backward compatibility, as previous versions defaulted to C:/ if HOME was not set.
5. Use the user's AppData directory, usually a directory called Application Data under the user's profile directory, the location of which varies according to Windows version and whether the computer is part of a domain.

Within Emacs, ~ at the beginning of a file name is expanded to your HOME directory, so you can always find your .emacs file with C-x C-f ~/.emacs.

There's further information at HOME and Startup Directories on MS-Windows.

It should be stored in the variable user-init-file. Use C-H v user-init-file RET to check. You can also open it directly by using M-x eval-expression RET (find-file user-init-file) RET

Open the file like this in Emacs for Windows:

C-x C-f ~/.emacs

More information in the Emacs Wiki

On my Vista box it's in C:\Users\<USER>\AppData\Roaming\