It is possible that steam has them as a hidden file, have you tried allowing your file browser to display hidden files & folders?
I'm not sure about where steam would store the files but if you are looking for the .rul files the base game uses for its small rockets you need to look in your OpenXcom Extended directory. The path should be something like this:
/OXCE/standard/xcom1/items.rul
Do not save changes to that items.rul file, these are the base games files and should not be altered.
Instead create a mod with your own .rul file(s) and place it in the following folder:
/OXCE/user/mods/YourModsName/
The /user/mods/ folders may not exist inside the OXCE folder, in which case you can create them just be adding those folders yourself.
I found an old
Steam forum post that suggested you may find the place steam stores game files in this location:
C:\Program Files (x86)\Steam\SteamApps\Common
The post was from 2015 though so they may have changed their storage location since then.