Go to Whatever hard drive you have it insatlled, for example C:
C:\Program Files(x86)\Steam\steamapps\common\Demigod\bin\
It's in there. Or wherever you installed it, just look in the bin folder.
Play some single player games to get the mechanics down, this game isn't hard to learn but it's very nuanced. If you need any help feel free to message me in game, we could play against some AI and I'll help you out with the basics.
