If you are using steam I believe it's just the "Amnesia - The dark descent/custom_stories" folder
(no redist folder).
Otherwise it's "Amnesia - The dark descent/redist/custom_stories"
But before that make sure you have followed all of the steps on this page, it tells you how to set up the config file so you can actually play it.
http://wiki.frictionalgames.com/hpl2/amn...stom_story
Edit: sorry, I misread your question, thought you were making a story not playing one
Double edit: Your not using steam lol, fail on my part. never mind, I'm tired...
To actually answer your question, look for the folder which contains things like 'entities' 'sounds' 'music' 'maps' et cetera. Along with these folders there should also be a custom_stories folder. If there isn't, try making one. But make sure it is spelt correct and in all lowercase.