You have to configure your mining software to send your mining proceeds to your wallet address. I use, for example, my wallet address at Cryptonator.com - They have other cryptos, too, BTW.
If you want to use Zcash4Win, and I recommend it as well, you can generate your wallet address there. But be aware that ZCash4Win lives on your computer and YOU have to keep it safe. If the wallet data gets deleted you will LOSE your ZCash monies.
To mine properly you need the following:
1 - Mining PC
2 - Mining software
3 - Mining Pool
4 - ZCash Wallet
I use Flypool, and many ZEC miners also use it. Here’s the site:
They have instructions on how to configure your mining software according to your OS and hardware.
Cryptonator is here:
Read the help information on Flypool and it will help you. It’s not too hard!