I don't know where (or whether) Linux Subsystem files can be located under Windows -- maybe a user of Windows can provide that info.
It might be better to create the file with a Linux Subsystem application such as emacs -- then you would know where the file is.
Typically you would create the file first, and then start M2 running in the same directory. The presence of "./" on the path then
ensures that your file can be found when "load" is used to load it. Within M2, you can see what your current directory is
with "currentDirectory()" -- that's what "./" expands to. In your case, it seems you've started M2 in your home directory, as
that's where the subdirectory ".Macaulay2" is.
If you're using emacs, as recommended, you can delete the buffer "*M2*" if it exists, visit the file you wish to run, and then start M2 running with f12.
It will start running in the same directory as the file.