apparently, to it's cache (something like: C:\WINDOWS\Application Data\KMeleon\Profiles\default\4g5k7o6d.slt\NewCache) as a binary, and also to the windows temp directory, as a file of the expected type, but with an unidentifiable name. at least as far as i can tell...
that's changed in the newest version (0.4.5), which should be out one day (right now if you want to test it, you have to download the code from sourceforge and compile it yourself).