Check ICE's detainee locator
Go to https://locator.ice.gov/odls/homePage.do and type the biographical information about your loved one. If s/he is in Immigration custody, you should be able to locate him/her using this website.
Call your local Detention & Removal Office (DRO)
The specific office for immigration that normally detaines is called the Detention & Removal Office (DRO). The one closest to where you live can be found here: http://www.ice.gov/about/dro/contact.htm
Check with the Bureau of Prisons locator system
Your loved one may have been picked up by immigration but turned over to Federal authorities for prosecution, or may have been detained directly by Federal authorities. Check the Federal Bureau of Prisons Inmate Locator at http://www.bop.gov/iloc2/LocateInmate.jsp
Check with your local jails
Your loved one may have been arrested on a local arrest warrant. In this situation you want to call the local jails (too many to list here and no one link will take you there) as well as your local police department.