On my system they're located (I think) in a file called rt.jar, which for me happens to be C:\Program Files\Java\jdk1.6.0_12\jre\lib\rt.jar
I actually just looked for it because you asked about it. And in case you were curious, all the source code for those files is in a file called src.zip (on my computer it's under C:\Program Files\Java\jdk1.6.0_12\src.zip).
It just depends on your installation, but the default is %SystemRoot%\Program Files...... you get the idea
Studying for SCJP 6
subject: where are the java pacages lacated in computer? eg: io,util,.....