Finder is the App that never closes. It's the Windows File Explorer of the Mac world.
You can access it by clicking on the lower left icon on the Dock. Here you can see everything such as Downloads, Pictures, Documents, etc.
Customize what shows on the left-side navigation pane by clicking Finder on the Menu Bar, then Preferences. You can elect what you see, what to tag, what drives show, etc.
If you are ever lost, Finder is the first place you to which you should proceed!