To make Zotero's "locate" function (right panel of Zotero) direct your browser to the articles, e-journals, etc. that MU has purchased, you need to set up your Zotero preferences - a one-time process.
Instructions for attaching the PDF's, Word files, spreadsheets, etc. that are already stored on your computer to your Zotero items are on Zotero's page on attaching files.