St. George's Chapel is the place of worship in Windsor Castle. Charles I was the third monarch to be buried there, the first two being Henry VI and Henry VIII. The fourth was George III, and all monarchs since George III have been buried there, with the exception of Queen Victoria and Edward VIII.
Victoria was buried alongside Prince Albert, in the mausoleum in the grounds of Frogmore House, Windsor.
The Duke of Windsor was buried at the Royal Burial Ground, in front of Queen Victoria's mausoleum. The Royal Burial Ground is used for members of the Royal Family other than the monarchs themselves and their consorts.
For 500 years before George III, the default burial place for English and British monarchs had been Westminster Abbey. Henry VII commissioned a chapel there, and he was the first of ten monarchs to be buried in it. The last (to date) was George II, and apart from those mentioned above, the only intervening monarchs not to be buried there were:
Jane - Tower of London (St. Peter ad Vincula)
James II - five different places in France
George I - Hanover
Before Henry VII, it was a bit more random.
In the 12th and 13th centuries, all monarchs (kings) were buried in Westminster Abbey - with two exceptions. The exceptions are King John and Edward II, who were buried in the catherdals of Worcester and Gloucester respectively. The kings who were buried in Westminster Abbey during this period are Henry III, Edward I, Edward III and Richard II.
King John's two predecessors, Henry II and Richard I (his father and brother respectively) were buried, along with their respective wives, in Fontrevaud Abbey in Anjou. The burial places of previous monarchs, starting with William the Conqueror, are:
William I - Caen (remains lost during the French Revolution)
William II - Winchester Cathedral
Henry I - Reading Abbey
Matilda - Bec Abbey, Normandy
Stephen - Faversham Abbey
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