You can do a "which <command>" to see where a particular program resides.
If you use an rpm-based distro, you can do a 'rpm -ql <package-name>' to display all installed files, along with there path.
Usually, user programs are in /usr/bin, admin programs are in /usr/sbin.
If all fails, you can search the whole file system for the particular program/file by typing "find / -name <file name>"
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