Andrew,
Generally, you know it. There are two ways you can be Catholic; either you are baptized Catholic, or you are received into the Catholic Church after being baptized in another church.
In either case, a record is made at the parish where it happened. In some rare cases the records may be centralized but this is very unusual. So you basically have to know or guess where and when the event (baptism or reception) might have occurred. There is no one location you can go to ask,
If for some reason you suspect you may be Catholic but aren't sure, and can't, for example, ask your parents, you'll have to guess which parish you were baptized in (I am assuming you would have been baptized as an infant, and not received later on) and write them to check their baptismal records for your name.
Eric
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