If i want to add a “js” fix for PNG in IE 6, where should i put it?

I use this one:
http://24ways.org/2007/supersleight-transparent-png-in-ie6

But i don’t know:
*in wich directory i should but my “supersleight.js”
the theme directory?
the content?
the wordpress?

*and where and in wich file i should put:

<!--[if lte IE 6]>
<script type="text/javascript" src="supersleight.js"></script>
<![endif]-->

the theme “header.php” ?
the theme “index.php” ?
the wordpress index.php? (seems very unlikely)

Maybe i just need another script, but i’ve treid so many so far so i just guess i’ve been doing things wrong. Most page explain that you should put the code in your index, but where should i put it if i use wordpress?