Two locations, both technically the same thing just through two UIs.
Https://entra.microsoft.com -> Entra ID -> Enterprise Apps -> Activity Section -> Admin Consent Requests
or you can do what I do...
Https://portal.azure.com -> Search for Enterprise Applications, expand Activity, click admin consent requests.
Note, opening the Microsoft Copilot app on my desktop, which is accessing the freely available online
https://copilot.microsoft.com, and asking it "Where do I go to authorize a user requested application in Entra ID?" returns the correct instructions.
I realize it's not quite let me google that for you level, but it's pretty close. But you do have to know how to read that alert a bit, it's not blindly obvious unless you work in this space like I do.