There is many way to do it.
Like cravenfiner said you can just open file location from the shortcut.
A simpler way would be to go in game, in the option there is a button that takes you directly to the osu! folder and you can just check the directory from there.
A more general way if you ever need to find anything else is to open the command prompt, to go to the root of your drive by typing "cd \" and then you type dir <name of file> /AD /s, the command prompt will then give you the directory of every file named <name of file>.