At the interface. Polypeptides are made of amino acids, which vary considerably in their side chains. A typical protein, like serum albumin , has both hydrophillic and hydrophobic side chains. When the protein is in its native form, not all the side chains are likely to be exposed to the outside. Since the peptide bonds are not broken by exposure to benzene, the protein will remain at the interface, partly in the benzene and partly in the water.
Cholesterol is a steroid.
Steroids are lipids, as they are made up predominantly of hydrocarbon rings. Lipids are hydrophobic and soluble in non-polar solvents such as benzene, and not in water.