FRUA can be in whatever directory you like.
As for UAShell - check out the UA Archive at
http://frua.rosedragon.org/index.html and choose the browse files option and look in the 'pc' folder. It will be under utilities and you want the file called uashellc.zip (stands for UAShell complete). It's the last one that David Knott worked on (he created UAShell). I've heard that there is a more recent version but I don't know where to get it or what it does. The one available works pretty darn good.