There are two compendiums available, one for D&D 5e, and one for Pathfinder. In either case, the GM of the game has to enable it's use in-game. Of course, you can always use the Compendium straight from the Roll20.net site (under the Tools menu), but that version has no direct interaction with the tabletop (I.e., you cannot drag an item or spell into your inventory). If your GM has enabled it's use in-game, it can be found on the right hand side of the play area, where the chat log displays. Click the tab heading that looks like a circle with the letter i in it.