Bitcoin QT wallet upgrade
C:\Documents and Settings\YourUserName\Application data\Bitcoin (XP)
C:\Users\YourUserName\Appdata\Roaming\Bitcoin (Vista and 7)
The easiest way to open your appdata folder is to press Windows Key-R, then type %appdata% and hit enter.
Linux
~/.bitcoin/
Mac
~/Library/Application Support/Bitcoin/
Then install the new version in the regular manner. The new client should use your previous settings (including the wallet and the blockchain data).