I find it under Insert, Reference Geometry, Live Section View (the same place in both SolidWorks 2009 and 2010). If I remember correctly, in SolidWorks 2008, it was only available on the right mouse button shortcut menus and we added it to the top level menus starting in SolidWorks 2009. Note that a quick way to search for something is in a menu is to go to Tools, Customize, Keyboard and then type the name of the command in the "Search for:" box. In this case, if I type live, I get two instances; one in the view menu and one in Insert, Reference Geometry.
Thanks. At one point, either 2007, 8 or 9, Live Section Plane was at the top level Insert menu. Thanks for the clarification.