noonope's got it right about where the path/to/PIE goes: in the CSS.
I upload the .htc file to the server (apparently anywhere)
The places I've gotten my .htc files, I was told to put them in the site root. However I'm thinking they only said this so that the CSS code they provided matched. You can put it anywhere you want, so long as the url correctly points to it (from the HTML sheet!).
The .htc file I used was peterned's csshover.htc, and I mentioned it in the body CSS (and separately from other body CSS! This mattered!):
all my normal body stuff;
(in this case, the .htc file was in the same folder as my HTML, so there was no path).
If the goal of this PIE is to get IE to work with lots of CSS3, then putting it on the body element might be better than on individual elements... but I'm not sure (never used this). Peterned's htc makes IE6 hover on things which aren't links, so putting it in the body made it affect the whole page.