If you want to use OneDrive (and I recommend you to do!) the first time you have to configure it: it is a simply procedure with the help of a wizard. So, go in the bottom right arrow menu and select the OneDrive cloud icon.
The steps shown in the following, allow you to setup everything, choosing the folders you could already have remotely in OneDrive and that you want to synchronize with your PC: you can select all the folders, as shown in the following screenshots, or only some of them or even no one.
During the configuration wizard you can also choose the location of your OneDrive folder, by default created in your user path (e.g. C:\Users\myName) choosing Change instead of Next [see next screenshot]: this can be useful if you have more accounts on your PC (e.g. one with the Admin role and onewith User role, for normal work) and you don’t want to duplicate the OneDrive folder [or others system once (e.g. Pictures, Videos)].
Note that after that configuration you cannot change anymore the OneDrive folder location (without choosing Unlink OneDrive from the Setting page and starting the OneDrive configuration wizard again) acting from its Properties, because there isn’t the Location tab (available, on the contrary, for other system folders like Pictures, Videos, Music, Downloads, Documents …).
Then you can go to your OneDrive directory and, after waiting a while for the synchronization, find the selected folders also locally.
Note that you can always create new local folders in your local OneDrive and let them be synchronized.