Its not really a program so you won't find it anywhere.
The clipboard is a a place in memory (ram) where you can store items temporarily for use later, for example select some text with your mouse & either use Ctrl+C to copy it to the clipboard or right click & select copy .
The text will stay in the clipboard until you switch your PC off or you copy something else to the clipboard ( only stores one item at a time) open notepad & Ctrl+V to paste the text or right click & select paste.
Quote:
followed step 1 2 & 3 then it said the file was now in my clipboard.
You should have opened Notepad or Wordpad & paste it Ctrl+V then saved it somewhere.
I use Directory Opus a Windows Explorer replacement & I can paste it directly to a location to save.