Where does location cck module save the data?
As mentioned, the data's stored in the location table, which is handled by the location API and indexed by location ID (lid). The CCK field stores an lid. If you have access to the node object with the field, then you can access the address fields directly from the node object. If you don't have the node object and want to avoid the cost of loading lots of nodes, you can get the CCK DB details using content_fields($field_name, $content_type_name) and content_database_info($field). Then you can use location_load_location($lid) to get the location. I've just taken a quick look at the source for location_load_location() and note that it might do JIT geocoding (so it might actually write as well as read!). I imagine you won't have any issues with doing a join directly on the location table, but I always prefer to use the API where possible.

There's also the command location_load_locations($id, $key) which looks like it can give you all locations associated with a particular nid or vid, but I don't think that's what you're after.