It's in the My Games folder, down in the Beyond the Sword folder.
Usually there is nothing in it unless you put something there or install something like the BUG mod in the "always active" mode such that you don't have to load a mod to get it (which happens because the Custom ASsets overrides everything else). The Blue Marble terrain package can also install there, and probably a few other things.
Even if you can't find it, or there is nothing there currently, setting FFP to have NoCustomAssets = 1 is a good idea.