Depends. If you create the index on the partition scheme, it will be partitioned like the table and stored across the three filegroups. If you create the index on a filegroup, it's not partitioned and is stored entirely in that filegroup.
Basically, it's stored where ever the ON clause of the create index specifies.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability