When you start using Workspace365's Documents functionality it could happen that you do not have "My documents" available. Shown below is an image where it is available, if you do not have the "My documents" available you to open OneDrive within Office365
Login with you account on the Office365 portal.
Go to "OneDrive"
Click on "Next" to continue.
You can log out of office again and go back to Workspace365.
You have acces to your "My Documents" from Workspace365's Documents functionality.