For gaining weight, while doing cardio/exercise, where is it stored?

It depends: Mostly likely you are gaining some muscle mass. Since it's rare to gain just lean muscle mass alone, there may be a bit of fat that is being gained too. If you are gaining any significant weight but not noticing any change in your physique something else is going on and may require an evaluation by your doctor. Remember if you are weighing yourself after drinking fluids, it may be water weight