By default when you create a virtual machine, the virtual hard disk files and the snapshots go in different locations. You can change the default location for these folders, but the pieces of a virtual machine are still spread out. When I create a virtual machine, I recommend to check the box that says Store the virtual machine in a different location, then specify a folder to let's say D:\VMs. When you do this, the wizard creates folder under D:\VMs using the name of the virtual machine and then places the VHD in that folder, the xml configuration file in a subfiolder called Virtual Machines and the snapshots in a subfolder called Snapshots.
For details on how this all works, go read this blog posting on my personal blog
http://blogs.technet.com/roblarson/archive/2008/04/26/virtual-machine-snapshots-with-hyper-v.aspx
