Hello! I'm nobody, but I might have an answer for you.
Windows 11 might have set your "Desktop" folder inside your OneDrive. This may be true with other common folders, such as Downloads, Documents, Pictures, Videos, etc.
To check, right-click the folder you want (for example, Desktop). Select "Properties". Under "General", look for Location. If it's in OneDrive, it would look something like "C:\Users[Name]\OneDrive\Downloads".
If you want to change this, go to the "Location" tab, and select one of three buttons. I personally used the "Restore Default" button; it was quick, easy, simple. Your computer will ask you to --create a new folder if the "default folder" doesn't exist, and/or --move all your current files to the new folder. If all the above is okay with you, select "Ok" for all of the pop-ups.
If all goes well, you will now have a hard drive location for a common system folder.
Hope this helps!