Note (4th May 2012): As this post proves to be ever popular, I have updated it to account for new developments and to provide a more general method of storing your ADMX files, especially on large networks. Please check out the new post: ADMX files, where to put them, and you – take 2.
ADMX files are the new form of ADM files, the format which defines what Group Policy settings set what registry changes when they are applied. With Microsoft’s move to XML-based file formats and alongside their release of the new Office 2007 file extensions (DOCX, XLSX, PPTX etc.) the ADM format was also upgraded to ADMX.
People familiar with ADM files would remember that in order to have Group Policy Editor read the ADM file and add the settings to the policy, they would need to Add the template. However, for ADMX files, you cannot add them via the Add/Remove Template wizard in Group Policy Editor, because they do not appear as an option to add.
Windows reads the ADMX files on the system from a pre-defined location, and that location is the only location on the system where you should place the ADMX files. It is %systemroot%\PolicyDefinitions, where %systemroot% is normally C:\WINDOWS.
Any ADML files you receive with the ADMX files should be placed into a subfolder within PolicyDefinitions, named after their MUI ID. For example, a en-US ADML file would be placed into the directory %systemroot%\PolicyDefinitions\en-US.
Once you have stored your ADMX files in their respective locations, it is simply a matter of restarting Group Policy Management Console for the files to appear in the Group Policy Editor.
It should be noted that any form of ADM/ADMX file only needs to be present on the machine where the policies are edited from. It does not need to be present on every machine on the network. The ADMX files simply link the GUI of the GPO Editor with the appropriate registry settings to make; the registry settings are simply stored and processed at each client where the GPO applies.