Mac OS X framework files usually reside in /Library/Frameworks or in ~/Library/Frameworks.
A private framework can also be installed into the Frameworks folder in the Application Bundle, for example:

This is easily done in a Copy Files build phase. With Xcode 3, follow the following steps.
1) select the Build Target in Xcode

2) go to the Xcode Project Menu, and select New Build Phase > New Copy Files Build Phase:

You will see this Copy Files Phase window:

3) Select Frameworks item in the Destination popup menu:

This will add a Copy Files phase to your target:

4) Now drag your private framework (from Linked Frameworks or Other Framework) into the Copy Files phase:

That is all there is to it. The next time you build your application, the Application Bundle will contain a Frameworks folder with your private framework in it, as shown in the first figure above.