I would like to change the theme corev4.css of my sharepoint site. Unfortunately, I can´t locate it neither on the server nor in sharepoint designer. I read that it should be located in a style library folder, which I cannot find inspite of selecting "view all site content" on the server.
You must first look into the best practices for branding SharePoint 2010. As PlanetWilson added earlier you should not consider changing system level css files as it will effect your entire farm.
Rather create overrides for styles through a custom css file and include the link to the stylesheet in the masterpage of the site where you want your styles to be applied. SharePoint 2010 additionally gives you the option of loading any css file after corev4.css through a masterpage directive
corev4 and other system level css files are located in the 14 hive(C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\14\TEMPLATE\LAYOUTS\1033\STYLES) since you wanted to know whey they are physically located.
This should help you get started : http://sharepointbrandingauthority.wordpress.com/2010/03/17/overriding-core-css-files/
You should be overriding the styles with a custom CSS rather than changing the core one. Why not do that instead?