Where do you put header.php and footer.php?

[eluser]johnnyForums[/eluser]
First, do you use a footer and header.php file and if you do where do you put it? The way I had/have it is I found a free template somewhere and chopped it up into header and footer items. But, since it has .php items in it I was unsure if I should put it in my assets folder.

Thank you.