I have heard the story of Abhimanyu and the Chakra-Vyuha. But I cant find the exact location where it is told, how he learned it.
Was he in his mother's womb or Arjuna taught him later physically?
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The story you have heard is narrated in Telugu Folk Additions to Mahābhārata by T. V. Subba Rao, so most likely it's folklore:
VIII. The Reason for the Death of Abhimanyu:
Abhimanyu was the nephew of Sri Krishna who was none other than the incarnation of Lord Vishnu. He was the son of Arjuna, the greatest hero on the earth. Even then Abhimanyu died; why?
Here is a reply from the folk:
Sri Krishna captured a Rakshasa and imprisoned him in a pot in the form of a smoke. He brought the pot to his palace and kept it in a corner. His sister Subhadra, who was then pregnant, opened the lid of the pot innocently. Immediately the demon inside the pot came out and entered her womb, thus inflicting the demonic qualities on the foetus. Krishna noticed this act of the demon and made up his mind to put an end to the life of Abhimanyu along with the wicked Kauravas.
One night, after the above incident, Arjuna was narrating 'Padma Vyuha' (a type of military strategy in which the soldiers are ordered to stand in the form of a lotus flower) in detail to the pregnant Subhadra. After some time she fell asleep. But the clever foetus in her womb was attentive in hearing Arjuna telling her how to enter a Padma Vyuha. Krishna observed the mischief of the foetus and immediately called Arjuna away on some other pretext. Thus Abhimanyu could learn only how to enter a Padma Vyuha but he did not know how to come out of it. This defect was the main reason for his death in the hands of the Kauravas in Kurukshetra. If Abhimanyu was not killed in this way, Krishna had to take another birth to kill this demon in the disguise of Abhimanyu.
Also, according to this blog post, a slightly different version is found in the Bheel Mahābhārata although in this case Abhimanyu/Iko Danav (while still in Subhadrā's womb) is hearing about Cakravyūha from Kṛṣṇa:
However, the Bheel Mahabharata develops the demon nature of Abhimanyu fully. Here he is not even a son of Arjuna, but the demon Iko Danav who enters Subhadra's womb and becomes her son. When Arjuna marries Subhadra, to please Krishna and not because he is in love with her, Subhadra is already pregnant and Iko Danav is in her womb as Abhimanyu. He has become the child of Subhadra with one specific purpose: destroying/killing Krishna for wiping out the entire race of Danavas.
Days pass. Weeks and months pass. And then one day Krishna is away and Subhadra finds the opportunity she has been waiting for. She must know what it is that her brother has kept hidden in the basement cellar. She goes to the cellar, opens the door, goes inside, opens the chest. Iko Danav, captive inside the chest, hungry and thirsty, emaciated, has by now turned into a bumblebee. In feverish fury he has been waiting for a chance to get out from the suffocating chest. As Subhadra opens the chest, the bumblebee flutters its wings and flies out. Subhadra opens her mouth in wonder and the bee enters it. Quickly the bee reaches her belly. Flames of fire leap up in her belly, causing intolerable pain. She runs out of the cellar and begins vomiting. She does not understand what has happened. Restlessly she tosses about in her bed, her body contorting in agony.
Krishna comes back in the evening. He questions Subhadra and discovers what has happened. He realizes he enemy is now in his own home. In his sister's womb. Now he has no option but to do what he hates to do – abort the fetus.
Krishna takes Subhadra to an empty cellar in the palace. She rests on a soft bed there, her body contorting in violent pain. Krishna knows if he chants the Chakra Veda [sakra ved – mantras dealing with the chakravyuha], the fetus will melt inside Subhadra's womb. He tells her she would get relief from pain if she listened to the Chakra Veda. He begins chanting the Veda and Subhadra 'hmms' along, letting him know she is listening.
Krishna chants the Chakra Veda mantras revealing the secret of breaking into the first six 'forts' of the chakravyuha. As she listens to the Chakra Veda, Subhadra finds release from pain. By the time Krishna has finished chanting about the sixth fort, Subhadra is fast asleep.
Inside her womb, Iko Danav thinks: I have by now understood the secret of breaking into the first six forts. Uncle thinks his nephew is melting inside the womb, whereas the nephew is mastering the secret of the forts. Now is the time for the seventh fort and mother has fallen asleep. All right, let me 'hmm' in her place.
Krishna continues chanting the Chakra Veda – now the chants are about the seventh fort. Iko 'hmms' from inside Subhadra's womb. Krishna becomes suddenly alert: the sound is different. With a shock he realizes Subhadra is asleep and his plan has failed – now there is just the cow-dung fort left and if he had completed the chanting, Iko would have mastered the secret of all the seven forts, which would have resulted in Iko's snatching away the overlordship of Vaikuntha from Krishna. He stops the chanting, thus making Iko Danav/Abhimanyu a master of only part of the knowledge of the chakravyuha and not all of it.
It's just folklore. There is no mention of this story in the Mahabharata.
In Drona Parva, Abhimanyu simply says that his father Arjuna taught him how to break into the chakravyuha:
Yudhishthira placed that heavy and unbearable burden on the son of Subhadra. Addressing Abhimanyu ... the king said, 'O child, act in such a way that Arjuna, returning (from the Samsaptakas), may not reprove us. We do not know how to break the circular array. Thyself, or Arjuna or Krishna, or Pradyumna, can pierce that array. O mighty-armed one, no fifth person can be found (to achieve that feat). O child, it behoveth thee, O Abhimanyu, to grant the boon that thy sires, thy maternal uncles, and all these troops ask of thee. Taking up thy arms quickly, destroy this array of Drona, else Arjuna, returning from the fight, will reprove us all.'
Abhimanyu said, 'Desiring victory to my sires, soon shall I in battle penetrate into that firm, fierce and foremost of arrays formed by Drona. I have been taught by my father the method of (penetrating and) smiting this kind of array. I shall not be able, however, to come out if any kind of danger overtakes me.'