If you're using Vista, the backup location is here:
C:\Users\<username>\AppData\Roaming\Apple Computer\MobileSync\Backup
I'm guessing for XP it would be here:
C:\Documents and Settings\<username>\Application Data\Apple Computer\MobileSync\Backup
For OS X, it's here:
/Users/<username>/Library/Application Support/MobileSync/Backup
You can only restore the backup via iTunes when your iPhone is wiped clean after a complete reset for example. It will ask you if you want to set it up as a new iPhone or restore from a previous backup.