Try "locate my.cnf". You might need to update the database before. "updatedb" on Linux (I think!), "/usr/libexec/locate.updatedb" on FreeBSD. If you don't want to use locate, try "find / -name my.cnf" but it might take a while.
Or check in the directories where you should find it first, /etc/, /usr/local/etc/ or the MySQL data directory.