When you open Tableau Desktop, in the Connect pane on the left you should see Saved Data Sources where you can access the Superstore sample that many web examples and tutorials are built on. The My Data Sources folder in My Documents is a place you can save your own data sources as you build them, but not required to be saved there either.
Thank you for the answer. My Tableau Public version, after installation, obviously does not have the "Saved Data Sources" section. But your answer did help me. I googled "Tableau sample data" and found some online ones and was able to download it to my folder.