You can place those files anywhere you want. Then you open your favorite text editor and start writing AIR apps.
After you have written what is necessary for an app you compile and then package it.
You'll accomplish this much easier with Flex Builder, but here are some links to Adobe LiveDocs pages on creating AIR apps using the SDK:
Setting up the SDK
Your first AIR app with the SDK:
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I hav downloaded the air sdk but i think der is 1 folder missing in it i.e src (which i cam to know while watching tutorials on youtube)..
after than i tried a tutorial with html and xml but it gives me message("Adobe Air colud not be found. Ues -runtime<dir> to specify the location of runtime, you can download the latest version of the runtime from http://www.adobe.com/go/getair.") in command prompt
I hav already downloaded and installed adobe air on my desktop, is the the missing folder the culprit ?