Can't seem to find an answer to this..
During a recent sql profile I noticed C:\ was rapidly filling up.
Does anyone know exactly where these files are stored? is it part of SSMS?
If you create a new trace and check the 'Save to file' box, you will see a save as dialogue box which defaults to Libraries\Documents.
If your goal is to locate the trace file that you already saved, simply try opening the file in profiler. If you still cannot find it:
Retracing your steps should suffice though.