They are stored in User > Movies > iMovie Events and/or iMovie Projects.
There are several ways to get there:
In Finder, click on Go at the top of your screen, then from the left pane select your User Name or Home.
Scroll down to find a folder called Movies and double click on it.
All iMovie files are strored there - events, projects etc.
Deleting files from within iMovie will only delete them from this location and not from anywhere else.