Q: where did the files go?

Hi and welcome to Apple Support Communities ...

Open the Finder. The Finder is to Mac as Windows Explorer is to Windows.

Click any clear space on your Desktop. You should see, "Finder" top left side of the screen in the menu.

Click File > New Finder Window

All of the migrated files should be in the Finder.

Help for using the Sidebar and Finder here >  Use the Mac Finder Sidebar for Quick File Drag & Drop App Launches

Check out these support articles when you have time ..

Apple - Find Out How - Mac Basics

Apple product tutorials

Apple - Support - Mac Basics

Congratulations on your new MacBook Air