Go to Finder* via clicking on its Dock icon or using CMD+TAB to switch to it.
There you either already have a window open or you open one via CMD+N, there you have a Sidebar on the left (containing shortcuts to your Favourites) and you click on them.
To find a file, use Spotlight (CMD+SPACEBAR).
To go to a specific folder, use the right side of a Finder window. CMD+SHIFT+H brings you to your Home Directory, the folder for your user account, containing almost all your files (if you don't store them somewhere else) and settings.
And since you probably have a new Mac, it either has
Mac OS X 10.7 Lion or
OS X 10.8 Mountain Lion, thus it has a shortcut called "All My Files". This is a saved search, thus don't use it to delete or move files. Many have deleted important data doing that.
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