I'm a newbie, how to configure HAProxy

What are the configuration files to modify?

I suggest you start by reading doc/management.txt and at least some of doc/configuration.txt.

The config file would usually be in /etc/haproxy/haproxy.cfg

Actually, there is also a starter guide, which may be even better suited:
https://cbonte.github.io/haproxy-dconv/1.7/intro.html