Smart Object Question

I am not a regular to this group and I have to admit I am a little
behind with my Photoshop learning curve. I just started going thru some info on smart objects and I am really confused about where these smart objects get saved.
When you go to edit the SO, a dialogue box prompts to save to commit the changes but then the next paragraph of the dialogue says the file must be saved in the same that referencing the saving of the ORIGINAL tif or psd?
Thanks for any enlightenment on this! CS3

Thanks, Marek!
So, if the original and "placed" image is moved from its location or deleted...then what happens to the SO status?
Also, in another scenario, what if the SO does not exist before a layer in a file is converted to a this SO saved anywhere else or is it just some sort of extension to the file in which it was originally just an ordinary layer?

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