Apple have hidden the user’s Library folder to casual viewers, in an attempt to stop new Mac users screwing their machines up. To access it, in the Finder go to the ‘Go’ menu and hold down the Option (Alt) key; the Library folder will appear as a choice.
Your iTunes scripts should be in (user)/Library/iTunes/Scripts/
You can make the User Library visible permanently: open up terminal in the utilities folder and type in:
chflags nohidden /users/(yourusername)/library
(note the space before the first slash). Obviously you should insert your username (the name of your Home Folder), not in brackets.
Dougscripts on my computer are in my Home folder > Library > iTunes > Scripts
You can try searching for hidden files with EasyFind (free). In Lion they have hidden the user library.
Message was edited by: Limnos to remove Snow Leopard reference (noticed the OP was using Lion)
Hiding things - getting a bit windows really isn't it!
I think the reason is because inexperienced users are likely to dive into the Library and start removing or messing with files, with disastrous results. At least there is a method for getting at the Library - some of Lion's clever ideas are not so easily reversible.