The simple answer to the question is, the files don't go anywhere. The file is right where it was before the user deleted it. Deleting a file doesn't actually remove the file from the hard drive nor does it "move" the file to the Recycle Bin in Windows (or the Trash in Mac) as many people might think.
When data is stored on a hard drive, the drive puts the information into a memory location. Large files are broken into sections and stored in multiple memory locations. The hard drive then creates pointers for that file that point to the memory location or locations in which the file segments are stored. When the user opens that file, the hard drive follows the pointers to pull up the data.
When the user deletes the file, the memory locations still hold the data. The pointers that show the hard drive where the data is stored are "deleted" but are still not erased. The file pointers are in the Recycle Bin and can still be retrieved if the user doesn't wait too long.
The deleted file stored in the memory locations isn't actually erased unless the user does a deep hard drive reformat. The data in the memory locations will, however, eventually be overwritten by new data since the hard drive doesn't have a pointer for that memory location and it views the location as available to receive new data. Once the data is overwritten, even retrieving the file pointers from the Recycle Bin won't recover it.