Maybe you can use this query with a little tweaking.
select Object_name = o.name,
Object_type = o.xtype,
Data_located_on_filegroup = g.groupname,
Data_located_on_file = s.name
from sysobjects o, sysfiles s, sysindexes i, sysfilegroups g
where i.indid < 2
and i.groupid = g.groupid
and s.groupid = g.groupid
order by Object_type
Greg