I recently upgraded to a machine with Windows 7, and it took me a while to find where I needed to copy my sde connection information files from my old computer. (These files are useful - if you copy them over, it means you don't have to set up all of your sde connections again in ArcCatalog.) Hopefully I can save someone else the trouble!
In Windows XP they were here:
C:\Documents and Settings\username\Application Data\ESRI\ArcCatalog
In Windows 7 they are here:
If not there, try here: