When logged into OneDrive via browser, you will be able to see “My Files” and “Shared”
Any files/folders that you create under My files by default is set to private and only you will be able to view or edit them unless you explicitly share them
Only files/folders that are in "My Files" will be available on desktop
Under Shared you will find all the files and folders that you have been given access to edit/view.
In order to access these from your desktop, you will need to sync them to your My files first.