In 'Harry Potter and the Deathly Hallows,' Harry found Mad-Eye Moody's magical eye embedded in the wood of Umbridge's office door at the Ministry of Magic. Harry, Ron, and Hermione had infiltrated the Ministry to find the locket Horcrux, and Harry discovered the eye - a grim reminder that Moody had been killed during the Battle of the Seven Potters. The Room of Requirement, Hogwarts grounds, and the Black Lake are not where Harry found this particular item.