If you want sprites to be dynamically downloaded by event within the Construct action sheet sequence, then you have to have a blank placeholder sprite and reference the URL of where it is stored.
If you are asking about where native sprites are stored, it depends on what you are exporting in. In HTML5 exports, they are stored in .../exportDirectory/images (assuming you use the default option for "Subfolder for images") otherwise it will be in .../exportDirectory/customSubFolderForImagesDirectory where the ... is whatever you have in the "Export files to:" field.
If you are asking about where the Construct client keeps the sprite image files in preview mode, I believe it just references the image files directly on your hard drive when you initially created the sprite.