A Microsoft file hosting and synchronization service.
"Your next step" is not correct.
Office 365 Family when first installed, by default in all Office components, except MS Outlook, the default save location is to OneDrive.
And the default setup of OneDrive is to sync \My Documents\
You can view this via OneDrive settings, seen via its task bar icon.
And as such there is nothing for you to do, unless you have previously saved your docs to some other location.
In File Explorer there will be a OneDrive folder, which shows the OneDrive contents