We talk about our computer systems like they are physical places. When you want to talk about where a file is, for example, you say something like this:

I think it's in my "Documents" folder.

You can also use the phrase "go to ___":

Go to your documents folder, then click "New File".

We use "go to ___" to talk about folders, but also applications and menus:

Go to your email. OK, now go to "Tools".