PowerPoint accompanying JMP webinar:
.shp files are located:
Note: for JMP PRO, use directory name JMPPRO.
If you cannot see the file, you might need to change the file type to All Files.
If you saved custom map files when using a previous version of JMP, for example JMP 13, you should move the files to the directory for your current version of JMP or JMP Pro:
You may also be interested in the JMP US ZIP Code Maps and the Add-Ins for Geocoding Place Names and Custom Map Creator
Also see the documentation on mapping in JMP.