You can find your Dropbox local folder under C:\Users\<your user>\Dropbox (or under the Favorites in Windows 7/8), or open it via the Dropbox tray icon.
[Note: the “Share” button in this tray menu is related to the link sharing, so you get a link that you can send via e-mail to anyone that will be allowed to download the file.]
Select a folder (or create a new one) and then right-click on it and select “Share folder…”: this will open your browser and will ask you to add members to share the folder with (see 1. for more details).