This page should help walk you through the process of setting up MOSS to use an already installed SQL Server.
When you install MOSS it creates the databases in what ever the default location for the SQL Server is.
You can check this by opening the SQL Server Management Studio and opening the object explorer, and connecting to the SQL Server. Right click on the server name and select properties. On the “Database Settings” page you will see two boxes with paths in them. This is the folder that it will create the databases in.