By default, the presets are saved in your Audacity folder for application data: http://manual.audacityteam.org/o/man/preferences.html#stored .
If you are on Windows there is no need to add the XML extension to the file. If you type the name of the preset in the effect, the XML extension will be added for you. If you force the extension to other than XML in the Windows file save dialogue or change the extension afterwards, you will not be able to open the preset.
I do not speak French. Please translate the answer to French for your fellow users.
Gale