in realworld, in local library. on the net, if you have fast connection, try to install some p2p program. i'm using emule - it's free. if you ask for websites for downloads, sorry, i don't know.
Anything written by someone who's been dead for 70 years or more is in the public domain. p2p is still technically illegal by the way because although there is no music copyright there is still the issue of recording copyright and performance copyright. However sheet music should be easy enough to get hold of. There's also a great site for classical midi files if you're into that sort of thing called the classical midi archives. And the good news is, only another 10 years or so to wait for Rachmaninov to become public domain.