Its not stored on your PC.
Either you can search for the specific file you want in Google (for example, if I wanted the Control source, I'd search for System.Windows.Forms.Control.cs), or you can download the Microsoft .NET Source References from
here[
^].
Be aware though, only download with Internet Explorer, the files do not download correctly with Chrome or FireFox. The sources are also not laid out very well, you may have to download multiple frameworks to find the files you need and they are really poorly organized.