Yey! He surfaced! Ello mate
Right, mine are in....
C:\Program Files (x86)\Steam\steamapps\vbhol\day of defeat\dod
Now the x86 bit is because I am running a 64 bit version of windows, so you may just have it in "Program Files". The "vbhol" is my steam account name, so that will be whatever yours is.
These directories DO NOT EXIST until you have started dod for the first time, which catches a few of us out including me and Paul. So start up dod, start a server ("new game"), let it load and then shut down dod. Then go looking for the directory and you will find it has an autoexec.cfg in it already which you just overwrite.
Hope that helps.