If you are wondering where the Windows key is located on the keyboard, it's usually near the ALT key or close to the spacebar on the bottom portion of the keyboard. However, some keyboards may have it located in other parts. The Windows key is typically identified by the Windows logo like the example below.
Of course if you have a Mac keyboard it won't typically have a Windows key. The good news is that there is a solution for anyone that does not have a Windows key (PC Windows or a Mac running a Windows partition with Boot Camp), and it's called AutoHotKey. AutoHotKey is a free, open-source utility for Windows that allows you to remap your keyboard so that you can assign a different key as a replacement for a missing Windows key.
The Windows key is important for Windows 8+ especially if you don't have a touch screen. By pressing the Windows key you can essentially toggle between the Windows Start screen and desktop. The alternative is to move your mouse cursor to the very left of the screen to access the desktop, but it's sometimes easier to just use the Windows key. The Windows key is also important for a variety of Windows 8.1 keyboard shortcuts when used in conjunction with a combination of other keys.