F-SECURE POLICY MANAGER 7.0 Administrator's Manual page 77

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Step 13.
Enter the path where the administrator's public key and private key files
will be stored. By default, key files are stored in the F-Secure Policy
Manager Console installation directory:
Program Files\F-Secure\Administrator.
Click Next to continue.
If the key-pair does not pre-exist, it will be created later in the setup
process