What is a Will?
A Will is a written document that details your wishes for disposition of your assets after your death.
Where does a Will get filed?
While you are alive it does not get filed anywhere. You can keep it in your home or some other safe place. After death, and if probate is necessary, the Will gets filed with the Probate Court having relevant jurisdiction.
Do I need a Will?
If you have any assets and have a family, then you should have a Will.