Click the OneDrive icon in the upper menu bar (or down right on Windows) where you see the clock, then on the gear and select "Settings"
Select "Backup" > "Manage Backup". Make sure it says "Files have been backed up". If not, check both Desktop and Documents (and Pictures on Windows) and click "Start backup"
Files outside these folders that are not already synchronized by any cloud service need to be moved into OneDrive. For example, the "Downloads" folder is local and will not be synced, so if there are files locally on the computer that need to be saved, it's good to move them into OneDrive.
Also, make sure all files have been synchronized, then OneDrive should say "Your files have been synchronized' and it looks like this:"