For some reason, I keep forgetting this...BizTalk R2 EDI schemas are kept in an executable ZIP file (EXE extension) at C:\Program Files\Microsoft BizTalk Server 2006\XSD_Schema\EDIMicrosoftEdiXSDTemplates.exe.
By the way, the new BizTalk EDI support in R2 is way better than in previous versions. They have schemas for every X12 EDI document I could want, plus lots more. There's also support for EDIFACT, which I haven't had the privilege of using yet...
Setting up the EDI transactions is also much easier. Actually, there are some transactions that I never was able to set up using the old EDI system.
To compare the old EDI system to the new, it took me less than 1/2 the time to set up a real life outbound 810 transaction. Not bad.