I have seen posts that say reference paths entered in project pages are saved to .user files.
But for my web project I don't see a .user file
I am using vs2003 (don't ask!)
EDITED:
I can't say for VS2003, but in VS2010 it is indeed saved in .user file, even for the web project.
To find out is it even saved inside your project folder, you could use some tool to search the folder by file content (e.g. Total Commander). It is possible that in older versions VS used some general user based location for all projects, like user's Application Data directory.
(Old answer, just for reference)
If you add a reference to your web project, it should be saved in your project's .csproj file.
If you add a reference to a web page, it is saved at the top of page .aspx file.