Custom tags can be stored in any of the following locations. ColdFusion will search for them in the order listed.
In the same directory as the calling page - while this is easy for demonstration purposes, it's not very practical, as it means that the custom tag is only available within that directory.
In a directory (or subdirectory of a directory) specified in ColdFusion Administrator under Extensions -> Custom Tag Paths.
In the cfusion/CustomTags directory or one of its subdirectories.