Your main Fallout directory.
If he's on Vista they likely aren't in there, due to folder permissions.
They'll be in here:
C:\Users\"Your Username"\AppData\Local\VirtualStore\Program Files\Bethesda Softworks\Fallout 3
He'll need to first enable "Show hidden files and folders" in "Organize > View" or Folder Options.
In order to bypass Fallout 3 putting the files there in the future you need to do this as an Administrator:
1. Right Click your Fallout 3 folder (not the VirtualStore one, this one : C:\Program Files\Bethesda Softworks\Fallout 3)
2. Click Properties
3. Click Security
4. Click Edit
5. Click your Username in the list.
6. Check Full control.
7. Click OK.