Sharepoint folders are a place to store files shared with teams or departments. You can access those folders in your OneDrive account where you access the rest of your files.
To access Sharepoint files in OneDrive, you will have to add a shortcut to OneDrive from the Sharepoint site.
First open the Sharepoint site and click Documents on the left side. Then click Add Shortcut to OneDrive.
Within a few moments, the folder will show in OneDrive.