If you are coming from a traditional website made up of separate HTML pages, you may well wonder where the pages are.
In Joomla! almost everything that you would normally think of as a web page is actually stored in a MySQL database. When you create a new page, your content is stored in a database record, not in a separate file.
Then when your site is viewed, Joomla! calls up different items from your database and puts them together to make what is displayed to the user.
One exception is that your images are usually stored in the images directory and not the database.
Your MySQL database usually is created by you during the installation process (unless you use a Fantastico or a similar installer that will create the database automatically). If you have a control panel on a linux host, you can usually access MySQL through a program called phpMyAdmin. This will allow you to view your database.
For a short tutorial on converting a static HTML web site to Joomla!, see How to Convert an existing Web site to a Joomla! Web site.