For UNIX users, the order in which Oracle searches locations for Oracle Net files like sqlnet.ora and tnsnames.ora are in this order:
1. $HOME for hidden files only (i.e., .sqlnet.ora and .tnsnames.ora)
4. /etc or /var/opt/oracle (depends on platform)
For Windows users, the search order is a bit different. It goes like this,
1. current path (associated with the running client application)
2. Environment variable TNS_ADMIN defined for the session
3. Environment variable TNS_ADMIN defined for the system
4. Windows Registry Key TNS_ADMIN
Now, from what I've read of the posts you are using Windows. If you do nothing (i.e., don't define TNS_ADMIN anywhere) then Oracle will look in the default location %ORACLE_HOME%\network\admin. On most windows computers this is something like c:\oracle\oraDb10_home1\network\admin. If you are unsure what your Oracle Home is, just look in the registry under HKLM/software/oracle for a hive named either HOME0 for Oracle 9i, or a hive named using the value you supplied during installlation of Oracle. In that hive will be a key named ORACLE_HOME.
I strongly recommend against setting TNS_ADMIN as a system variable. I believe Oracle does too. You really should stick to registry keys, since some Oracle apps won't pickup TNS_ADMIN as a system variable.