i think you have to look into "My Documents" for a Picasa-related-folder.
I know my webalbums are generated there.
Don't know about a collage-album
[edit]
tested this out (thx, "Collage" is a great function which I didn't know it existed
)
When you open the collage in Picasa, you can right-click it and chose properties.
On my pc, it says "My Pictures/Picasa/collages/ ....jpg"