Depends on the application entirely. If you really want to know, you can either watch the output when you type 'make install' but it likely scrolls by too fast. So instead (or alternatively) you can send the output to a file:
make install > output.file
check the Makefile and see what the target 'install' shows;
Grab a program called checkinstall ( www.freshmeat.net
) and it will actually give you a better idea of where things are going, as well as make it possible to uninstall them.