As you haven't stated yet that you have even attempted what I suggested, I'll give it one more shot with specific instructions.
1) Open Address Book
2) From the View Menu, select "Groups"
3) Select the All Contacts group
4) Find a contact in the list on the right for which you would like to know the group (ie "location")
5) Select that contact in the contacts list.
6) Hold down the Option (alt) key and watch the group list on the left pane.
7) Identify the group(s) name(s) that turn blue
8) Interpret the highlighting
a) If a group in "On My Mac" is highlighted, then the contact is on your Mac, in your user/Library/Application Support/AddressBook/metadata folder
b) If a group in your "Mobile Me" section is highlighted, then it is on you Mobile Me contacts (ie, in the cloud).
c) If an Exchange Server folder is highlighted, then it is on your Exchange server contact list.
d) If it is in another list not mentioned, then it is in the storage location defined for that contact server.
Please note that since I do not have Mobile Me or an Exchange (or any other type of contact account), I don't know how that is labeled int he Groups list. Also, since I don't have those, I don't know if holding down the option key highlights those groups, but from the Help file, I would assume it does.
This should NOT be that difficult. I would like to be able to click on to each contact and know where it is saved/stored.
As far as I can tell, the only difficult part about it is getting you to understand.
Show the groups, select a contact, press option key, identify the groups (ie locations) of the contact. Not difficult at all.