where could I find training.pt / test.pt
In the Pytorch docs for MNIST I read:

root (string): Root directory of dataset where MNIST/processed/training.pt
and  MNIST/processed/test.pt exist.

Where could I find these two files traing.pt, test.pt? And what are their format?

Assuming pytorch 1.x+, The constructor of torchvision.datasets.MNIST follows this signature:  

torchvision.datasets.MNIST(root, train=True, transform=None, target_transform=None, download=False)


The easiest way to get the dataset is to set download=True, that way it will automatically download and store training.pt and test.pt. Assuming a local install, it will by default store them somewhere like .local/lib/python3.6/site-packages/torchvision/, although you don't have to worry about that. 
