Macs aren't Windows. There's no notepad. Perhaps you mean Notes, which doesn't store documents except in the cloud, or TextEdit?
In the latter, you would open TextEdit, write your note, and save it wherever you like. I believe Users/(you)/Documents is in fact the default location (not "My Documents" -- Macs aren't Windows). See image below.
Notes stores its notes in a central repository on your drive, but syncs it with iCloud so that you have your set of notes on every Mac or iOS device you own. You can export a note if you want, or copy/paste, but that's not the general idea.
