You do have that file on your computer. If it isn't there, OmniFocus promptly recreates it, with the "welcome to OmniFocus" database!
In the Finder, type cmd-shift-G (or use Go->Go to Folder...) to bring up the following dialog box, and fill it in precisely as you see here:
That will take you to the folder where the file is, and it will be there if you are doing this in the account where you run OmniFocus.