you are right .you can put it in the winboard folder or a folder on its own any where you like on the drive.it is best to have it in its own folder inside the Winboard folder.Give the folder the same name as the engine.Put all the adjacent files in that folder like the books. the ini file if there is etc.Then edit
the winboard ini file to specify the location of the engine.
since you are new to winboard you need to read the Winboard FAQ.
Here is the link
http://www.aarontay.per.sg/Winboard/index.html
Good luck
Melchior