Oh, it goes in the "repository" directory

File under: Dell Repository Manager and SUU / Dell Systems Build and Update Utility.

If you're making a USB stick with firmware / etc updates, just export it to your local disk, go to the directory it exported to (it'll be named something like SUU_2012-05-04_07-21-33-AM), swipe the "repository" directory out of there and put it on the root of the USB stick.  I don't know why this isn't better outlined in the documentation, but maybe I'm not good at reading things.