Moneydance 2014 and 2015 will store any new data files you create in the same, default location. If you have not manually moved your data file to a different location, your files will be stored in a default location. The default location for your data file(s) varies depending on your operating system, and is listed below.
Mac OS X Lion, Mountain Lion, Mavericks, or Yosemite: /Users/<username>/Library/Containers/com.infinitekind.MoneydanceOSX/Data/Documents
Mac OS X Snow Leopard: /Users/<username>/Library/Application Support/Moneydance/Documents
If you're using a Mac, you can go directly to your data set by right clicking (or Ctrl + clicking) the Moneydance title bar, then selecting the folder directly below your data set to open the folder that contains your data set in Finder.
After doing that, Finder will open and your data set will be selected (note: in some instances, the data set will have a folder icon instead of the Moneydance icon).
More recent versions of Windows: C:\Users\<username>\.moneydance\Documents
Older version of Windows: C:\Documents and Settings\<username>\.moneydance\Documents
If you're using Windows or Linux, the location of the data set will be in the Moneydance title bar, so you can use Windows Explorer (or your preferred Linux file manager) to browse to the location of your data set and find your yourfilename.moneydance data set that way.