The load function is in Mage_Core_Model_Abstract and it calls the load method in Mage_Core_Model_Mysql4_Abstract.
You can see this by following the inheritance chain from your object class. As an example, look at Mage_Catalog_Model_Product. You can see it extends Mage_Core_Model_Abstract.
A faster way to see it is by using a PHP development environment like Eclipse PDT or Zend Studio. In those environments, you can click on a function call and go to the declaration.