Where can I find it? And also, how can I add folder or file to the left menu? Thank you.
Open the Dash and type Help and read the help documentation on how to use Unity. Since 11.04 was released six months ago the Administration and the Preferences menu have been replaced with System Settings which is part of the power cog menu.
Some people chose to use Ubuntu Classic mode. That is no longer available. If you prefer the classic type of User Interface then there are answers to previously asked questions that will help you. Such as this one:
Follow the links.