there are two ways you could do it (That i know of)

first way is to use render preview
when you use that the images from each pass is stored in a corresponding folder inside the tmp folder of your images folder in your project (provided you've used the default project settings)
so... whereever your images are places when you do a render in the render preview and save it out

so.. if your layer was called layer1 then it would be in images/tmp/layer1/masterbeauty
or something like that

alternatively you can use the batch render to render one frame and it'll put the images inside the images/layer1/ folder

i wondered where they went at first too and then i went searching in the tmp folder because i found that was where all the tempory images were stored when you do a render preview and saw the folders there.

do note that the images take on the format that you have set in the render options. so if you have images saved out as psd then it'll appear as a psd. they are an iff file by default