Will rule file still be generated when referencing to http location?

If XMetaL locates your schema or DTD at an HTTP address it must first download it. It creates a temporary folder for one time usage here:
%temp%\#####\www.somewebsite.com\subfolder1\subfolder2\etc...

Where ##### is some unique random 4 or 5 digit number.

RLX and RLD files are generated at the same path.

It is easiest to just check the following API property if you need to find your RLD or RLX file for whatever reason (perhaps you do not have XMetaL Developer but wish to distribute the RLX or RLD): ActiveDocument.RulesFile

Example:
// XMetaL Script Language JSCRIPT: ActiveDocument.Host.Alert(ActiveDocument.RulesFile);

It is recommended that you do not distribute XMetaL customizations this way unless you package them inside an XAC file containing the RLX or RLD + CSS + CTM + optional MCR and other files. You need to compile an XAC using XMetaL Developer.

If you cannot use an XAC package then you should flatten your DTD or XSD into a single file for best results and the CSS, CTM and MCR files must be given the same name as the DTD or XSD in order to be found and downloaded. If found these additional files will be downloaded to the same folder as the schema. These files are downloaded every time a document is opened and this will slow down the initial document rendering time accordingly, with slower internet connections, slow web servers, etc, all coming into play here.

In general it is best to distribute customizations to each machine or use a 3rd party mechanism for distribution (like those provided by CMS vendors). This is the best way to give users of XMetaL the best authoring experience.