Recorded sequences files, where do they go??

Hello everyone, maybe this is a easy to answer question but I was a bit confused. The question is: when you for example make CV or MIDI sequence and you record the audio of it with so you can use the audio instead of midi of that sequence, where do the file goes? I save the sequence and when I recall it the audio is back and everything is in place but the mistery is where actually the audio files I recorded are stored? Is it like Ableton that when you save a sequence it creates a file with all audio and midi data in the same place or are the audio files I recorded from CV and MIDI spread around somewhere in my Mpc One?