Preprocessed NIFTI (.nii) data is usually placed in the same directory as the raw data with the prefix s(moothing)/w(arping)/a(lignment)/u(nwarping) appended in the order you ran those steps. 

Your denoised data will be stored under the conn project folder->results->preprocessing and have the prefix 'niftiDATA*.nii' be careful not to confuse it with the confound Betas 'Beta*.nii'

Z scored data will be in the project->results->first level folder.