I tried to google it but the entire first page of hits shows me where actions are saved. I can't seem to find where photoshop scripts are saved? .JSX Files.
Also can I just copy them over from my Mac into Windows? Or will the Script not work properly?
In the Photoshop subfolder: Presets\Scripts.
You should save the outside of and Adobe Folder so you know where they are. If you want them listed in Photoshop menu File>Scripts>Script Name. You have two Choices. Beside saving them in you own folder also copy them into each version of Photoshop you have installed Presets\Scripts folder. The Second way would be instead of copying them into Adobe scripts folders link Adobe scripts folders to your scripts folder.
I have 7 versions of Photoshop installed on my workstation. All seven of Photshop's Scripts folders are linked to my Scripts folder. All seven share a single copy of my scripts. It also make installing the next Photoshop version easier to do.