By default it is located under the Binn directory at C:\Program Files\Microsoft SQL Server\%number%\Tools\Binn. This was the third item I installed here, so my %number% was \100\. Some install CLQU before the Native Client, which puts it at \90\.
There were lots of people looking for it through this post here: http://danblee.com/moving-wss-sharepoint-3-0-databases/ so I figured I would make it that much easier fore you guys.
Cheers!
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