Where a file is stored determines whether it is backed up, who can see it and whether it's available on other devices.
Which location for what?
OneDrive: your own work files. Backed up, with version history and available on all your devices.
SharePoint or Teams: shared files of a team or project. All members have access, even if someone is absent.
Network drive (in companies with their own server): shared files on the company network, backed up centrally. Only reachable via VPN when on the go.
Locally on the computer (desktop, downloads): only short term. These files are usually not backed up and are lost if the device fails.
USB sticks and external drives: only for transport, not for storage.
Basic rules
Never store company data in private cloud services (e.g. personal Dropbox or Google Drive).
Don't send files to colleagues as email attachments; share them instead. See “Share files and folders – OneDrive and SharePoint”.
If in doubt, ask support where shared files are stored in your company.