Windows 7 and Visata: Users/[Username]/AppData/Roaming/Adobe/Adobe Photoshop CS5/Presets/[feature name]
Windows XP: Documents and Settings/[Username]/Application Data/Adobe Photoshop CS5/Presets/[feature name]
Alternately, if you just need to move one preset, you can select the item you want to move and save it out and load it. For example, select an action in the Action panel and choose "Save Action..." from the panel menu. After you've saved the file, you can load it by simply dragging the action you just saved on to the Photoshop application icon in the Finder or Windows OS.