In this step “Lastly, upload both the MO and PO file to your WordPress installation languages folder. This folder should be in the wp-content folder. If it does not exist, create it. For more details, please see this FAQ.” You need to follow the instructions in the FAQ that is linked to in that step as the
../wp-content/languages/ might not exist so you need to make it, then you can create the
connections folder within it.
“It says I need to upload both the MO and PO file to my wordpress installation languages folder, but where do I locate this?”
Are you asking about the MO/PO files? If you are, those file will be wherever you saved them to on your desktop … there’s no way for me to be able to answer that.
Question, is there a specific reason you do not want to use the Spanish translation that comes with Connections? You do not need to go thru all of this if you use it and if it is missing stuff, which it is because it is not complete, you can help by completing it in Transifex and it’ll be included in the next Connections release.