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Once the SharePoint site has been created and you have been added as a member, you should receive a Welcome Email with the Site name in the Subject.

Open the welcome email for the SharePoint site you would like to start syncing files for.

Usually, all you need to do is to scroll down to the Check it out button in the welcome email and click on it to open the site in your browser. You will be asked to log into your Microsoft 365 account if you aren't already.

Once you connect to the SharePoint site online, click the Documents link on the left.

Click on the Sync link on the top menu to start the process.

Check the Always allow.. checkbox and then click the Open button.
If you get a pop up for OneDrive (SharePoint uses OneDrive for the actual sync process) as in the following picture, get in touch with me so that I can finish setting this up for you.

Once you receive the confirmation pop up of Now syncing your files …, go ahead and click the Close button.