Where's my Zope Instance?

Where your Zope instance lives depends on the Plone installer or installation process you used.

Plone Version 3.1.2 onwards

In a Buildout based installation, you don't need to worry much about your Zope instance. If you really want to investigate you'll find the actual instance in [your buildout]/parts/instance. However most of the key bits (your Plone products, 3rd party products, your Data.fs) don't actually live there. They are all assembled together from various parts of your file system by the zope.conf file which is generated when you run buildout.

Plone Version 3.1.1 or lower

Plone Installer
The Plone installers (apart from the Plone 3.1 Universal Installer) usually drop a Zope instance directory alongside the Zope and Python software directories. So, for example, a standard Windows installation, locates your Zope instance at c:\Program Files\Plone 3\Data. On a Mac, it will be called 'instance' and will probably live in a Plone folder in your applications folder. The Plone 3.1 Universal Installer, however, will have given you a buildout based installation.
Plone Product Package
If you've installed Zope yourself, you'll have been prompted to create a Zope instance, so you should have a good idea of where that is on your system.