Overview
Your organisation SharePoint URL configuration is located in the Organisation Administration module > Document Management > Document Management Parameters as below:

Once the SharePoint URL has been entered you can test the connection to the SharePoint server. It’s also possible to Open the SharePoint site from within D365
Useful Links
Additional information for any Troubleshooting Issues with connectivity can be found in the link below:
Configure document management – Finance & Operations | Dynamics 365 | Microsoft Docs