In the General channel (or whichever channel you are using), click on Files
Click on Open in SharePoint. This will open the link in your web browser. You may need to login with your netid@wisc.edu
Click Sync. The browser may ask if you want to allow it to open OneDrive, allow this to happen.
It should then open a OneDrive window temporarily and automatically add a UW-Madison folder to your File Explorer (Windows) or Finder (Mac) containing the SharePoint files.
All SharePoints you sync with OneDrive will be located in the UW-Madison folder.