Yep, folks above have clearly explained to you, OP, how to find your holy city. It's up to you to find it. You can also click on your Great Prophet and right-click (hold) on each of your cities. If the holy shrine can be built in one of those cities (hence it is a holy city) then the shrine icon will be active. If so, just move your GP to that city and click the icon.
A Holy City is defaulted in one of your cities if you found a religion by reaching the required tech first. A holy shrine can be created in that holy city by a Great Prophet. A holy shrine is the only building the GP can build.
(As a note: Founding early religions is not a recommended "standard" way of playing the game. However, it can be an interesting alternative, at least on lower levels. On higher levels, the odds of beating AIs to early religious techs are low. It is highly recommend to first go for worker techs to improve your land and resources. This provides a much better benefit early game. You can always try for Oracle> COL or a Philo bulb to get your own religion and holy shrine)