Burgi is correct, they are in C:\Windows\Fonts
. However, navigating there in Explorer will result in a special view rather than a list of files. The easiest way to copy a file out from there is to use the command prompt, since it's not subject to the special folder views. This command copies the normal Arial font file to the current directory:
copy C:\Windows\Fonts\arial.ttf .
If you're not sure which file corresponds to a certain font, I would look in this Registry key:
HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Fonts