There is no feature in the gui to setup this action. So in short, I could find no directory in that regard.
However there is a command I found. Faillog. It's path should be (if it is installed) /var/log/faillog.
Here are some links to read that will teach you how to use the command:
That should do it. Have fun.
I found the information above through google, searching the following query's:
"failed login lockout policy linux ubuntu 10.04"
This did not print any links that fit. But there were some keywords I picked up.
So refining the search a little got the answer:
"lockout failed login attempts ubuntu 10.04"
In this search, there was even a link to LQ where there was a similar discussion but pam_tally was used for this same task.
Finally I searched "faillog"