At work, we have two Git Repositories.
One for the components and one for our actual application.
Our build environment takes care of syncing both to the correct branch (with a fallback to just develop for the component repository).
The result is that every developer has a local working directory for the components with prebuild binaries to minimize the buildtimes.
In theory, every develop could have a different location for it, in practice we have it below a folder in %PUBLIC% (example C:\Users\Public\Documents\SomeFolder\Comps).
Our git server (we use Gitlab) notifies everyone for any change in the component repository, keeping errors due to mismatching components down to a minimum.
So back to your question:
Put it anywhere you want as long as its a local copy and you have a "global" copy, preferable in your version control of your choice.
%PUBLIC% is user independant place, but every other folder is also fine.