You can do quite a few different file management functions within Lightroom, such as renaming or moving files. But sometimes you just need to find the original file on your hard drive.
If you're navigating to the image using the Library module's Folder hierarchy in the left panel, it's reasonably straightforward to see where the files are because that's organized by source drives and folders. But it's less clear if you're using collections or search results, where a bunch of different images might be displayed that are saved in multiple different spots on your hard drive.
Lightroom has a built-in function to help you find the original file, and it's very easy.
You simply right click on an image or thumbnail and choose Show in Finder (on Mac) or Show in Explorer (on Windows).
That will then open a separate Finder or Explorer panel for you and go directly to the file and highlight it.
This works in the Library, Develop, Map, Book, Slideshow, Print, and Web modules.