Hi,
They are stored on the Collector that the Agent is reporting to. By default, the name of the directory is threaddumps. So the path would be <EM Home>/threaddumps.
This can be modified by going to the IntroscopeEnterpriseManager.properties file and modifying the following property.
introscope.enterprisemanager.threaddump.storage.dir
So if your Agent is on Collector #2, you would go to Collector 2's threaddump directory and it is there. Also while you have the Investigator up, after you collect a thread dump, you can also save it as a tda file and put it in another location.
Regards,
Matt