C:\Program Files\Adobe\Adobe After Effects CS5\Support Files\Footage
C:\Program Files\Adobe\Adobe After Effects CS5\Support Files\Templates
And of course, you've made sure you didn't deselect them during installation
Mylenium may be right about which assets the tutorials were referring to, but I have no idea what tutorials you're talking about. We can't know what exercise files you're referring to if you don't telling us what tutorials you're talking about. There are many thousands of tutorials about After Effects, on dozens or hundreds of websites.
The best people to ask about the location of exercise files are the people who made the specific tutorials.
Keep in mind that a lot of tutorial makers (like Lynda.com) put some of heir tutorials online for free, and they sell subscriptions to the rest. Part of the subscription benefit is that you get access to the exercise files.