Well the default drive for Cakewalk Projects is the C: drive, which would then be on the same drive as your programs and application data.
I prefer to put Cakewalk Projects on an additional hard drive. You control where Sonar looks for projects through the location in Preferences>File>Folder Locations.
So, if you use the defaults, other than relocating Cakewalk Projects to a new drive, if desired, Global Audio will be wherever you told the install process to put Cakewalk Content, as a sub-folder, and each project will have a sub-folder created within its project - that will contain all the audio clips for that project.
Hope that helps,
Bob Bone