Where is CRL? Is it a file in my system that updated after OCSP requests or it is a list in the web server that I'm trying to connect to?
CRL is a list provided by the certificate issuer. The list contains the serial numbers and the reason for revocation of the revoked certificates and is signed by the issuer (or some other directly or indirectly trusted CA). The original CRL file is created and stored at the issuer. It gets provided usually via http/https but other mechanism exists. To know which URL provides the CRL for a specific certificate look at the 'CRL Distribution Points' property of the certificate. Note that lots of certificates issued by the same CA share the same CRL distribution point.
Where the local copy of the CRL is on your system, in which format it is stored there etc depends on the OS, browser, libraries... I doubt that it will be updated based on OCSP responses because OCSP and CRL are independent mechanism to check for revocation and a client usually only uses one of these to check for revocation of specific certificates. But it might use OCSP in some cases and CRL in other cases (where no OCSP is provided).
Who it updates?
It depends. Browsers usually don't use CRL's anymore but moved to OCSP, skip revocation checks completely or moved to some other mechanism like CRLSets. If any other application use CRL for the certificates - it probably depends on the application.
How OCSP server check revocation? (I mean how it update its database of revoked certificates?)
It does not check for revocation. Either the OCSP server is provided by the certificate issuer itself which already has the list of revoked certificates (since the issuer revoked these itself) or in case of OCSP stapling the web server gets the (signed) OCSP response from the issuer and includes it unchanged inside the TLS handshake.
In theory one could build some OCSP proxy which provides OCSP responses based on existing CRL files but since the OCSP responses are signed too this proxy must have a certificate which is explicitly trusted for signing OCSP responses.