Depending of your OS, on 10.7, 10.8:
1/ Open Finder
2/ Click on the Go option in the tool bar
3/ Press "Alt" button of your Keyboard, this add a "Library" entry to menu
4/ Select "Library" entry in menu
5/ Open Preferences / Ableton / Live <your version> / User Remote Scripts /
6/ Put the folder inside of it
OSX 10.6
1/ Open Finder
2/ Select the drive
3/ select User / <your user>
4/ select "Library" / Preferences / Ableton / Live <your version> / user remote script /
5/ Put the folder inside of it