What caused the unusual holes in this boulder, and where would you find it?
You'll find the answer to those questions here:
Yes, the boulder is in Grand Teton National Park, was formed by lava and moved by glaciers, hence the "fire and ice" title on the sign.
While most people associate the park with spectacular mountain scenery -- and that's an important part of it -- there are other, less well known attractions, including this one. I highly recommend a trip to Grand Teton.