/etc/nagios3/conf.d/. Here's some background information which will help you to identify it for other software/packages as well.
The plain (upstream) version of software installs itself in
/usr/local prefix path usually to avoid collision with any version installed by the distribution's package management. I suggest to take a look what Ubuntu (Debian) package maintainers had in mind by looking at the file list of the package you installed:
$ dpkg -L packagename
For Nagios3, the package
nagios3 is just a metapackage, so use
nagios3-common. This will get you to the
/etc/nagios3/ path for configuration.
I also recommend you to read
/usr/share/doc/packagename/README.Debian files that come with packages which includes information for users on what is Debian/Ubuntu specific about it. For Nagios3 that would have included the information you're looking for as well.
Welcome to the nagios3 package for Debian GNU/Linux!
Below are some debian-specific notes which may be of help to you.
I hope this makes clear that specific paths (and other build configurations) in the documentation upstream should not be taken too literally and always be checked for changes by your distribution (Ubuntu) package maintainers.