Where is the library of puzzles kept?

A. This depends on your version of Windows:

95, 98, ME C:\SadMan Software\Sudoku\
NT4 C:\Winnt\All Users\Application Data\SadMan Software\Sudoku\
XP, 2000, 2003 C:\Documents and Settings\All Users\Application Data\SadMan Software\Sudoku
Vista I don't know!