Both the *.s19 and the *.phy are usually SRecord files with no debug information. They usually differ in the addresses used in them.
As CW does not support to produce those files without an abs/elf file, I'm pretty sure you have one :smileyhappy:. However the extension can be choosen, so maybe someone did pick something else in your project. The directory for the abs/elf file can be configured in the Target Settings the "Output Directory" field. The filename is configured in the "Linker for HC12" preference page, "Application Filename" field.
In standard projects the abs/elf file is placed in a bin subfolder and has a *.abs extension.
Daniel