In Windows it is at Users/[user name]/AppData/Roaming/Adobe/Adobe Photoshop CS5/Adobe Photoshop CS5 Settings
AppData is a hidden file so turn it on first.
Different location, and file extenstion, if action saved or not.
Any time you create or modify an action you should save the Action set there in. For the only place they are stored in is Photoshop preferences which may be reset or you may need to reset. If you do not save the action set and your Photoshop preferences are reset you loose the actions you did not save. You may be able to recover some from a system backup. So the first thing you should do is to start CS5 and save the action set(s). Photoshop only save actions set not single actions. Though the menu item used is "Save Actions..." The way to save actions follows:
Highlight the Action Set your actions are in in the Actions Palette.
Then use the action Palette Fly-out menu the little triangle icon it the upper right corner of the palette. Click on item "Save Actions...". If you do not have an action set highlighted this item will be grayed out.
When you click on Save Actions... a "save" in Dialog will open. You can save and load actions from any folder you have read write access to. I always save anything I add Into Photoshop in one of my private folders I create like "My Photoshop\Actions".
Once you have saved you actions you can load them into any version of Photoshop from where you saved them. You can even just Drag the *.atn file and drop it onto a version of Photoshop and it will be loaded into the Actions palette.
The above append is noting where your Photoshop Preferences are stored and where you may save you action in a default folder Photoshop creates for you user id for a version of Photoshop. I recommend not saving your actions in there. Save them in you own private folder for use wit all versions of Photoshop. Actions are usually compatible accross versions of Photoshop. Adobe introduced a bug into Photoshop in CS4 that can effect a small number of actions that is still with us in CS6.
Thanks for your helpful answer. I took your advice and stored a copy of my Actions in a fiolder outslde of Photoshop.
A very useful and timesaving technique. Too bad Adobe doesn't include Actions with Presets to make this automatic whenever Photoshop needs to be updated (a hint to Adobe).