It will look in whatever directory your Project File (.dbp) is in, that from it's perspective is the "Root" Directory unless you provide an Absolute Path.
Now if you're not using a Project File but instead just loading the .dba, then it'll use a temporary directory... in this case the User Temp., although I don't know why you've used MS Paint to try to blank it out.
It's hardly sensitive information., actually knowing WHERE the Compiler is looking can be useful for helping to debug what's going on.
You know if you open them from the Help File, they will have a Project File and Build Correctly.
Still in any case if you want to manually do it... then make a new project, copy across the source and assets... it will work just fine.
Where you put it doesn't matter.