To round this info up (for people who might search for and view this thread), FSX Steam (FSX:SE) users can find all three versions of SimConnect in their main FSX folder (default location: C:\Program Files (x86)\Steam\steamapps\common\FSX\SDK\Core Utilities Kit\SimConnect SDK\LegacyInterfaces.
Where is SimConnect located?
SimConnect Debug (SimConnect.
The file should be placed in your %USERPROFILE%\Documents\Prepar3D v4 Files folder.
How do I know if SimConnect is installed?
You can tell if you have this version of SimConnect installed by going to your Windows Install/Uninstall area, or "Apps and Features" in Win10, and search for SimConnect.