Music is in iTunes under Music
Movies are in a "package" called iMovie Library.imovielibrary in Movies (right-click and select "show package contents") unless you have the older iMovie in which case they are in iMovie Events and iMovie Projects folders in Movies.
Photos are in a package called iPhoto Library in Pictures.
Did you run iTunes, iMovie, iPhoto? The libraries won't appear until the first time you run the apps.
If you are moving media from another computer, it's usually easiest to run Migration Assistant. Or you can use the Import command from within the applications.
Finder menu, Preferences, Sidebar, add checkmarks.