Hey @sirlou and @munyagu , Welcome to the Local Community Forums!
You’re right that the “Show Folder” link isn’t working when right-clicking, but you should be able to get to those files by click the little “circle with arrow” button to the right of the file path. See this reply for a screenshot:
To your specific question of where this is on Windows:
By default, Local stores the sites directly under your user’s home folder, in a folder called Local Sites.