Put in them in your "Multiplayer" folder, which should be inside your "Replays" folder.
The location of the "Replays" folder will differ depending on whether you are in OS X or Windows. Under OSX this folder can be found under Documents/Starcraft 2 (or is it Documents/Blizzard ... I cant remember).
In Windows, I think there is a similar structure in your "My Documents" folder.
Hope that helps.