That is not completely true. setwd only defines a folder, nothing more. If you want to load data, lets say a file termed test.bed, you still have to loaded it into R (so into the memory) with any loading command like read.delim, data.table::fread or similar, and for this, it does not matter if you do:
setwd("path/to/workdir")
fread("test.bed")
OR
fread("path/to/workdir/test.bed")
Also load loads an Rdata object that you previously saved to a location on disk (or external disk) with save. I recommend you spend some time getting a solid background in how to work with R before diving into any analysis :)
Look into
setwdcommand. It will allow you to set your working directory to which ever place you want it to be.What OS are you using?
if you are lucky enough to be using a Mac, you can simply drag the file from the Finder to the Terminal to reveal the full path.
MacOS High Sierra version 10.13.6