I did a choco install freerdp
and tried looking for the exe in program files etc
There's a folder in the User directory but doesn't contain anything useful
During the installation of the freerdp package, Chocolatey tried to help you understand where the underlying application was being installed.
In the case of this package, it is a portable application, so the application doesn't have an entry within add/remove programs. The maintainer of this package has chosen to extract the zip file for the application directly into the packages tools folder, i.e.
C:\ProgramData\chocolatey\lib\freerdp\tools
A shim exe has also been created though, which should mean you should be able to run wfreerdp
directly from the command line.
For future packages, you can look at the files contained within the package to get an understanding of how the underlying application is going to be installed.