app/code/core/mage/customer has all the class files
app/design/frontend/default/default/template/customer has all the template files The dashboard is actually app/design/frontend/default/default/template/customer/account/dashboard.phtml.
The layout xml file is /app/design/frontend/default/default/layout/customer.xml. If you search for customer_account_index, all the stuff inside of there controls the content in the dashboard.
customer_account_index tells you where the controller for the page is located (if you know about zend’s front controller, finding things becomes easier) and if you replace the underscores with slashes, you get the URL for the page. The controller is at app/code/core/mage/customer/controllers/AccountController.php in the indexAction function.