I think you are following the Installing SmartTarget Web service instructions from the manual. That one mentions Go to your Content Delivery %TRIDION_HOME%\config directory and copy the smarttarget_conf.xml file to the classes or config subdirectory of your Web application.. The installer will place the smarttarget_conf.xml in the TridionHome/config but you can also copy it from the installation media in SmartTarget 2014\Content Delivery\configuration\samples.
In any case, try to align the smarttarget_conf.xml across your web applications, just like you would do for the cd_storage_conf.xml. This will make the maintenance of the configurations a lot easier. The following applications are using the smarttarget_conf.xml:
- SmartTarget web service / Content Delivery web service (the one you are looking at)
- CD deployer
- Presentation server / your website webapp