Sessions are stored in a single folder on your computer's filesystem.

The first time you run Ardour, you will be asked where you would like the default location for sessions to be, with the initial choice being your home folder.

After the first-run dialog, you can still change the default location at any time via Edit > Preferences > Misc > Session Management. You can also specify a particular (different) location for a session when creating it, in the New Session dialog.