How do I locate and replace Quicken data files on a new MacBook as a Windows user?

It's a question for Quicken. Did you consider asking its developer, or consulting its documentation?

Contact a third-party vendor - Apple Support

Generally speaking you will find files in your Home folder or in any of its subfolders: Folders that come with your Mac - Apple Support

Mac tips for Windows switchers - Apple Support

Mac User Guide - Apple Support

If you are in the Finder, you can select Go > Home or use the keyboard shortcut use the keyboard shortcut Shift-Command-H to get to your home directory. Your home directory is the top level of the part of the file system set aside for your files.

Unless you have told applications to save documents somewhere else, most programs will probably put files into the Documents sub-folder or the Downloads sub-folder. The Finder also has a Find feature that you can get to by selecting File > Find or typing Command-F.

You may want to go into Finder > Settings… and put checkmarks by the Hard Disks and External Disks boxes in both the General tab and the Sidebar tab. This will make disk icons show up on the Desktop and the sidebars of Finder windows – like they always did before Appe got "cute" and changed the default to hide the Desktop ones.