After installation Pro Home Manager puts the very first file a user opens (My Home.phm) in a folder under "My Documents" for the current user called "Pro Home Manager." This folder also stores your Pro Home Manager knowledge base in a file called PHMKB.DAT. It is important not to delete the PHMKB.DAT file.
After that you are free to put your files anywhere.

Vista users might NOT want to put them in the installation folder C:\Program Files\Pro Home Manager" because Microsoft Vista virtualizes (creates a copy of the file you think you are opening in another place) the file location. That can sometimes make your Pro Home Manager files hard to find.