I hate this import+copy function of iTunes, but that probably saved your music.
On a Mac: Right click on a song in iTunes and choose "Show in Finder"
It's probably stored in /*user*/Music/iTunes/iTunesMedia or something around there.
On a PC: Probably the same procedur: Right click on the song on iTunes and there should be something like "Show in Explorer"
That's a guess, but I'm sure that there will be something similar.