Q: Where is halflife-cs.fgd
It is in a sub-folder of the folder where Hammer is installed. It should be something like this:
C:\Program Files\Valve Hammer Editor\fgd\Counter-Strike\
Unless you told it to install somewhere else.
A lot of mappers don't like the original fgd because it doesn't allow you to build a lot of cool things. If you'd like, you can download the CS Expert FGD which is much cooler and even has some bug fixes:
Unzip everything to your Hammer/fgd/counter-strike folder. Then tell Hammer to use the new FGD (Tools->Options->Game Configurations->Game Data Files box).