In GP 9 they're installed under C:\PROGRAM FILES\MICROSOFT GREAT PLAINS, in GP 10 they're installed under C:\PROGRAM FILES\COMMON\MICROSOFT COMMON\ECONNECT
Those are not exactly correct, but they're close, you'll find them. Additionally, I have posted quite a few docs here
http://forum.4penny.net/forums/p/351/732.aspx#732
You can navigate to them from the home page of this site, toward the bottom you'll see a link that says 'Introduction to eConnect'