Bitcoin-Qt is a full p2p network client, so to work, it needs to sync with the network. Basically, it will download every transaction that was done with the currency (~15 GB in total at the moment). Might take one or two days, then you'll be good to go.
The data directory is the location where Bitcoin's data files are stored, including the wallet data file. By default Bitcoin will put its data here: ~/.bitcoin/. You need to do a "ls -a" to see directories that start with a dot. If that's not it, you can do a search like this: find / -name wallet.dat -print 2>/dev/null.