Launch vim and run

set viminfofile?

That should tell you the location. (The default is probably listed at :help 'viminfofile'.)

Launch vim and run

set viminfofile?

That should tell you the location. (The default is listed at :help viminfo-file-name.)

Based on some comments, it looks like the issue was trying to find $HOME\_viminfo, since the OP is on Windows, but they are in the linux subsystem and thus should actually look for $HOME/.viminfo.