The answer is nowhere. This is a tradition of some Hispanic countries that supposedly celebrates the three Kings/Magi/Wise men (who came following the star) giving gifts to the new born King; and these countries use that as a excuse to give their children gifts this day instead of Christmas day.
Although this isn't in the Bible, I find this celebration much better than the heathen's waiting for Santa Claus on the 25th of December to give you a gift, because this at least acknowledges the birth of Christ. So should those countries stop celebrating this holyday because it isn't in the Bible? Maybe they should, but this argument could also be said for Christmas.