Should update to specify that with the new bootloader you can avoid using a microSD card entirely and boot and run off the external M.2 drive. I've got it working right now. One less failure point and allows you to do everything off the SSD.
Additionally, you can always keep an updated microSD card around in case of disk failure - but SSDs are pretty robust.
It's as simple as just blowing the Stellarmate image onto the SSD and then plugging it into the USB3 port on your Pi (I'm using a Pi4 for this). If your bootloader is post Sept 2020 and you have no microsd card in it'll boot directly off the SSD.
They're on your laptop (or wherever you're running Kstars to connect to the pi). "Locally" means on the machine you're controlling via Kstars. If you want them saved to the Pi you select "remote".
So in your case they are in t c:\Users\bill\Lights