Quicken names the data file Qdata by default, but you can save the file any name you wish. Do this by clicking on File, Save a Copy, then choose a new name or File, New Quicken File and name it. The first method keeps all the accounts, transactions and budget information that you've already entered in the Qdata file, and the second starts fresh with a new files with no information entered.
You will usually find Quicken data files in Windows Explorer under C:/Program Files/Quicken/Data, and when you start the software, it automatically uses the same data file the was was opened when you last used the software.
If you're having trouble locating a data file for Quicken, you can find all the data files stored on your computer by licking on File (in Quicken), File Operations, Find Quicken Files. From there, you can choose to find all Quicken files, files on a hard drive, USB drive, CD or other media, or search by file name.