Someone asked me this recently and I really had no idea. Quick look in BOL didn't yield any results, so curiousity won out. First step was to use Profiler to monitor while I created a new template (with the standard like '%profiler% filter removed!) and didn't see anything. Loaded FileMon and it only took a couple minutes to see that templates are written to your user profile on disk as TDF files, in my case it was C:\Documents and Settings\Andy Warren\Application Data\Microsoft\SQL Profiler\9.0\Templates\Microsoft SQL Server\80. Also turns out that the files are binary, not the more handy text or XML you might expect. I did a quick search with Regmon to see if Profiler was loading the template folder from a key and didn't see anything, so appears to be a built in value.

Good part is the templates are available for use in any database you profile from the machine containing the template, bad part is that you won't have access to your templates if you're running Profiler on another machine. Changing/creating templates isn't hard of course, but now I've got the answer when someone asks.