Can't find the EMP-Connector folder on Set up Real-Time Event Monitoring

Challenge: https://trailhead.salesforce.com/content/learn/modules/realtime-event-monitoring/set-up-realtime-event-monitoring?trail_id=shield

On Steps 4 and 5, it is asking me to open folder in Visual Studios then open the EMP-Connector folder that I just cloned. I finished cloning the repository in Step 3.

When I open File Explorer, I can't find the EMP Connector folder anywhere. There's no directory in my computer that has this folder.