You can use the System class loader to find classes on the boot class path.  For example, this
System.out.println(
  ClassLoader.getSystemClassLoader().getResource("java/lang/String.class")
);
Will print out something like,
jar:file:/C:/Program%20Files/Java/jdk1.6.0_22/jre/lib/rt.jar!/java/lang/String.class
To find the location of MyClass.class on disk, do
String urlString = ClassLoader
 .getSystemClassLoader()
 .getResource("com/my/package/MyClass.class")
 .toString();
urlString = urlString.substring(urlString.indexOf("file:"), urlString.indexOf('!'));
URL url = new URL(urlString);
File file = new File(url.toURI());
System.out.println(file);
System.out.println(file.exists());
Update 2020-06-29 by kriegaex: Rather than writing a new answer to this old question, I want to enhance or update this very good answer, also taking account paths with spaces and Java 9+ modules.
Here is a method returning the class file path as a File instance. If a class file is part of a JAR or Java runtime module (URL starts with protocol jrt:), it just returns the paths to the JAR or to the JMOD file, which is something you might not want, but it is just a showcase you can edit to your heart's content. Of course this is still hacky, e.g. not considering classes loaded from a web URL instead of from file, but you get the idea.
public static File getFileForClass(String className) {
  className = className.replace('.', '/') + ".class";
  URL classURL = ClassLoader.getSystemClassLoader().getResource(className);
  if (classURL == null)
    return null;
  System.out.println("Class file URL: " + classURL);
  // Adapt this if you also have '.war' or other archive types
  if (classURL.toString().contains(".jar!")) {
    String jarFileName = classURL.getPath().replaceFirst("!.*", "");
    System.out.println("Containing JAR file: " + jarFileName);
    try {
      return new File(new URL(jarFileName).toURI());
    }
    catch (URISyntaxException | MalformedURLException e) {
      throw new RuntimeException(e);
    }
  }
  if (classURL.getProtocol().equals("jrt")) {
    String jrtModule = classURL.getFile().replaceFirst("/([^/]+).*", "$1");
    System.out.println("Target class is part of Java runtime module " + jrtModule);
    String jmodName = System.getProperty("java.home") + "/jmods/" + jrtModule + ".jmod";
    System.out.println("Containing Java module file: " + jmodName);
    return new File(jmodName);
  }
  try {
    return new File(classURL.toURI());
  }
  catch (URISyntaxException e) {
    throw new RuntimeException(e);
  }
}
When I call this from one of my IntelliJ IDEA projects with JDK 14 installed under a path containing spaces and deliberately adding a JAR also containing a path with spaces for testing, this code...
public static void main(String[] args) throws IOException {
  Instrumentation instrumentation = ByteBuddyAgent.install();
  instrumentation.appendToSystemClassLoaderSearch(
    new JarFile("C:/Program Files/JetBrains/IntelliJ IDEA 2018.3/lib/idea_rt.jar")
  );
  Stream
    .of(
      Weaver.class.getName(),
      String.class.getName(),
      ByteBuddy.class.getName(),
      "com.intellij.execution.TestDiscoveryListener"
    )
    .forEach(className -> System.out.printf("Found file: %s%n%n", getFileForClass(className)));
}
... yields this console output:
Class file URL: file:/C:/Users/alexa/Documents/java-src/Sarek/sarek-aspect/target/classes/dev/sarek/agent/aspect/Weaver.class
Found file: C:\Users\alexa\Documents\java-src\Sarek\sarek-aspect\target\classes\dev\sarek\agent\aspect\Weaver.class
Class file URL: jrt:/java.base/java/lang/String.class
Target class is part of Java runtime module java.base
Containing Java module file: C:\Program Files\Java\jdk-14.0.1/jmods/java.base.jmod
Found file: C:\Program Files\Java\jdk-14.0.1\jmods\java.base.jmod
Class file URL: jar:file:/C:/Users/alexa/.m2/repository/net/bytebuddy/byte-buddy/1.10.13/byte-buddy-1.10.13.jar!/net/bytebuddy/ByteBuddy.class
Containing JAR file: file:/C:/Users/alexa/.m2/repository/net/bytebuddy/byte-buddy/1.10.13/byte-buddy-1.10.13.jar
Found file: C:\Users\alexa\.m2\repository\net\bytebuddy\byte-buddy\1.10.13\byte-buddy-1.10.13.jar
Class file URL: jar:file:/C:/Program%20Files/JetBrains/IntelliJ%20IDEA%202018.3/lib/idea_rt.jar!/com/intellij/execution/TestDiscoveryListener.class
Containing JAR file: file:/C:/Program%20Files/JetBrains/IntelliJ%20IDEA%202018.3/lib/idea_rt.jar
Found file: C:\Program Files\JetBrains\IntelliJ IDEA 2018.3\lib\idea_rt.jar