Your stylesheets should be in one of the two following directories (the code opens the directories):
SystemOpen@
FileNameJoin[{$UserBaseDirectory, "SystemFiles", "FrontEnd",
"StyleSheets"}]
SystemOpen@
FileNameJoin[{$InstallationDirectory, "SystemFiles", "FrontEnd",
"StyleSheets"}]
If you remove a style sheet (careful not to remove any of the standard Mathematica style sheets though) or delete it and then restart Mathematica, the changes will be reflected in the menu.
