It can go anywhere. When you import them into your map, the editor copies the files into the map, so it doesn't depend on where those files are on your hard drive.
Technically you can make your map depend on local files relative to the Warcraft III folder, but I don't recommend it unless you are desperate for file space and don't mind requiring players to download/install the separate files.
And as SCN said, questions about the editor/modding belong in their respective forums (e.g. WEHZ, Triggers & Scripts, Texturing & Surfacing, Warcraft Editing Tools, Modeling forum, etc.)