AdrianW is talking about manually triggering WMC to download the EPG (instead of on the scheduled basis).
I suspect kenne76 is after the details of the EPG file format and how to get it to load into WMC. Its not an official supported scenario. However search for bladerunner, free*epg - the WMC EPG file format is reasonably well known. To get it to load these tools create a web server on your machine to host the files (basically faking the Microsoft EPG server) and then point t he discSvc reg key to the local url.
To specifically answer your question. Its stored in the database file in the %programdata%\microsoft\ehome\epg directory and the database file is in binary format.
Note with the next version of Media Center (of which I can talk about after Sept 3rd-ish),
the file format is changing.
Cheers
Mike