The current version of InDesign has two kinds of libraries: InDesign-only libraries are created by choosing File > New > Library. I'm assuming that's the kind of library you're talking about. (The other kind are called CC Libraries in InDesign CC.)
If you have created a library file and added assets (pictures, text, etc.) to it, you save it as a file in a particular location. You will need to remember the location of or search for your library, just as you would for any kind of file. The library doesn't "live" in the Windows menu.
If you've created it recently, it may be found under File > Open Recent. If not, you'll need to browse or search for it in your file system.