Why doesn't Terraria show up in the 'My Games' folder?

If you have Terraria on Steam, it's important to check if you have one of your worlds saved in the cloud.

If it's not in the cloud, the players and worlds folders are located in My Documents/My Games/Terraria. If it is in the cloud, the players and worlds folders are located in C:/Program Files (x86)/Steam/userdata/{user_id}/105600/remote, where {user_id} is your Steam ID's folder number. C:/ is of course the drive where you have installed Terraria to.

Make sure you have at least one character and at least one world created and saved locally. Terraria does not create the folder in question until it needs to, which is upon saving a character or world on your local machine.