Most of the times the core file is created in the dir you ran the command from. Some use a special dir where corefiles are dumped.
But, some distro's disable/limit the creation of corefiles (most people don't need them).
Take a look in your /etc/profile for these (this from suse 8.2):
if test "$is" != "ash" ; then
#ulimit -c 20000 # only core-files less than 20 MB are written
#ulimit -d 15000 # max data size of a program is 15 MB
#ulimit -s 15000 # max stack size of a program is 15 MB
#ulimit -m 30000 # max resident set size is 30 MB
ulimit -Sc 0 # don't create core files
ulimit -Sd unlimited
# ksh does not support this command.
test "$is" != "ksh" && ulimit -Ss unlimited
ulimit -Sm unlimited
Man bash/ksh for details.
Hope this helps.