Where to find auth_hook?

developer/hooks/authentication.php in Drupal 5 and lower, but you've indicated Drupal 6 and hook_auth is not used in D6.

See: http://api.drupal.org/api/function/hook_auth/5

and

http://drupal.org/node/114774#dist-auth

Past Drupal versions had two hooks which helped modules integrate their external authentication services into Drupal. Those were hook_info() and hook_auth(). Those hooks no longer exist. Instead, these modules are encouraged to use hook_form_alter() to swap in their own validation handler for the one provided by core Drupal - user_login_authenticate_validate(). See drupal_form_alter() in site_network.module (in CVS only) for an example of swapping in a custom handler. The validation handler should set an error if the credentials are not valid. Otherwise, just do nothing and the login will proceed.