Probably in Your Pictures Folder
The very first time you launch the Lightroom application, a catalog is automatically created in your Pictures folder. The catalog is created before you even begin importing images.
Lightroom does not prompt you to create this catalog, which is unfortunate, because you don't have the opportunity to pick a place for the catalog, or give it a custom name.
If you've never moved or renamed your catalog, it is probably still in your pictures folder, inside of a folder with the name "Lightroom".