Blender looks for scripts in .blender/scripts which is a hidden directory inside your home directory.
If you're using konqueror as your filebrowser you can click on view>show hidden files to find it, or you can get the script there by doing this command in a console:
Code:
mv scriptname.py $HOME/.blender/scripts
Of course you'll have the put the actual name of the script instead of scriptname.py.
If it complains that the directory doesn't exist, you can create it with:
Code:
mkdir -p $HOME/.blender/scripts