According to the ZfD 7.01 docs, remote management session information
is logged on the managed WS. It is stored in the file 'auditlog.txt'
which is located in the "system" directory (according to the docs). I
assume they mean 'System32' directory but I can't find the auditlog.txt
file in either the c:\windows\system or c:\windows\system32 dir.

Where should I look for it?

Is this something I have to turn on somehow?