From the other thread, if it's a bz2, you need 'xjf' instead of 'xzf'.
That is where mine is. I'm not sure how much of this needs saying, so I'll just say all of it.
The tilde (~) indicates your home directory and the dot directory (.fluxbox) means it's hidden. You need to issue 'ls -al' to see it, but you can cd to it. If it really isn't there, you can make it. My system flux directory is in /usr/local/share/fluxbox/ but yours may be in /usr/share/fluxbox or somewhere else. You can copy that to your home directory, but it should have been generated when you first executed fluxbox.
And you can find your own threads by clicking on your control panel button.