If you create a new AUDIT from SSMS the first window gives you the option to select the destination. The available options are "File", "Security Log" or "Application Log". When you have "File" selected, you can specify a destination on the available disk(s).
The AUDIT files can be imported to a (secure and restricted) central server to keep track of all recorded actions.
** Don't mistake the ‘stupidity of the crowd’ for the ‘wisdom of the group’! **