Where do I have to protect a tenancy deposit?

In one of the three government approved schemes, within 30 days of receiving it.

The schemes are the Deposit Protection Service, MyDeposits and the Tenancy Deposit Scheme. Each offers a custodial option, where they hold the money, and an insured option, where you hold it and pay a fee.

Within the same 30 days you have to give the tenant the prescribed information: which scheme, how to get the deposit back, and what happens if you disagree at the end. Protecting the money but not serving the information is a common and expensive mistake.