If you need to locate the folder which contains the document that you are working on you can do the following when using a PC (for Mac instructions please see the page found here):
When using InCopy first open the "Assignments" palette found under the "Window" menu.
On the "Assignments" palette right-click the file name that you are working on and choose "Reveal in Explorer".
You can also select the document's name and then use the menu to choose "Reveal in Explorer".
When using InDesign you can click on the small "Open" icon which is located to the left of the horizontal scroll bar at the bottom of the window and choose "Reveal in Explorer".