When you log into a Pi and open a terminal window, or you boot to the command line instead of the graphical user interface, you start in your home folder; this is located at /home/pi, assuming your username is pi.
This is where the user's own files are kept. The contents of the user's desktop is in a directory here called Desktop, along with other files and folders.
To navigate to your home folder on the command line, simply type cd and press Enter. This is the equivalent of typing cd /home/pi, where pi is your username. You can also use the tilde key (~), for example cd ~, which can be used to relatively link back to your home folder. For instance, cd ~/Desktop/ is the same as cd /home/pi/Desktop.
Navigate to /home/ and run ls, and you'll see the home folders of each of the users on the system.
Note that if logged in as the root user, typing cd or cd ~ will take you to the root user's home directory; unlike normal users, this is located at /root/ not /home/root/. Read more about the root user.
If you have files you would not like to lose, you may want to back up your home folder. Read more about backing up.