No worries! 
When you first run Prodigy, it will create a folder .prodigy in your user home directory and the prodigy.json will be in there. If you're on a Mac, that path would then be something like ~/Users/you/.prodigy/prodigy.json. You can also run prodigy stats on the CLI to find the location of your Prodigy home directory.
(Because it starts with a ., the Prodigy home directory is a hidden folder, so depending on your operating system, you might have to enable hidden files/folders to view the directory in your finder/explorer etc.)