I understand that every transaction of bitcoin is stored in a "block" which is then added to the "blockchain". I realize that this is data of some sort that must have a physical location. Where is that location(s)? Where is the data of the blockchain stored?
Since it's unclear what context you are asking in:
The blockchain is stored, distributed, on every machine in the Bitcoin network being used to mine Bitcoin.
This network is self-regulating and peer-to-peer. There is majority rule, meaning that if one node on the network no longer agrees with the other nodes (on, say, what the hash of the last block was), it is kicked out of the network and will have to "resync" its data to be in agreement with the network.
On Windows the blockchains and other files are stored by default in C:\Documents and Settings\yourusername\appdata\Bitcoin. You can change this directory by passing the argument -datadir=c:\newdirhere to your Bitcoin executable. For a more detailed information please see https://en.bitcoin.it/wiki/Data_directory