"This PC" is your entire computer, with all the drives it has. The "C: drive," for most people, is just one of the drives on "This PC." Most people have a C: drive and a D: drive, and sometimes others.
So, for example, if I look at "This PC" on my computer, I see the following drives:
C: an SSD
D: a hard drive
E: a hard driveF: a hard drive
G: a DVD drive
W: a networked drive on my wife's computer that I have mapped to my computer
and sometimes
U: a thumb drive plugged into a USB port.
You probably don't have as many drives as I have. Most people don't.
There is no "should be" for where files are saved. What's best for one person isn't necessarily best for everyone. But files aren't saved directly to "this PC"; they are saved to a folder within a drive that is part of "This PC." By default, that folder is usually C:\Users\your user name\Documents, but it can be changed. You probably haven't changed it, so that's where you should star looking for files you've saved.
If they aren't there, do a search for the name of one of the files, and that way you will find out where they are saved.