Where is "All My Files" folder?
Actually, All My Files is a folder, but not the way you'd expect it to be. It exists at the path /System/Library/CoreServices/Finder.app/Contents/Resources/MyLibraries/myDocuments.cannedSearch. It is a special type of folder, called a bundle, that has an extension. You can usually access the inner part of these by right-clicking and choosing "Show Package Contents", but with All My Files you can't due to Finder's special treatment of it.

The bundle contains a file called search.savedSearch which is just a Smart Folder property list. This is a search for all files within your home directory.

In your case, this doesn't matter, because when you drag something into the All My Files folder, it goes to ~/Documents. The odd thing about this is it only happens for All My Files, and not other Smart Folders, which don't allow you to drag-and-drop files into them.