Since you are using clustered index so it will sort the existing data rows depending on the column you have selected while creating the clustered Index.It doesn't create any different object or structure to store the indexed data.Yes in a case of a Nonclustered index, indexes do get stored at some different location on physical memory.
Link:
What does this sentence mean: Clustered indexes are stored physically on the table?
select * from sys.indexes
where object_id = (select object_id from sys.objects where name = 'MYTABLE')
EXEC sys.sp_helpindex @objname = 'objectname'