When you go into My Computer you are given an idea of all the files on your computer.
I personally always go to View - Details, as I find this easier to use.
This is actually a program called Explorer or NT Explorer. It is called Explorer because it explores all the files on your computer. When the internet came along, they developed a program called Internet Explorer which would go out to other computers as well and read their files.
I also hit the Folders button, which gives a better visual representation of what your computer contains.
Note: You don't need to worry exactly how or where physically the files are located. In fact they are almost located randomly on your C: Drive, also known as your hard drive (as opposed to a floppy one).