I couldn't find any sample database for 2014 version
The AdventureWorks sample databases (including 2014) can be downloaded from CodePlex.
I believe SQL Server 2012 can't be installed on Windows 8
The download page you reference lists Windows 7 as a requirement for 2012 Express. These pages aren't always updated when a new version of Windows is released. In fact, SQL Server 2012 Express, Standard, and Developer are supported for installation on Windows 8.
I couldn't navigate to the location to where the file actually exists
If you run
sp_helpfile in the master database on your SQL Server 2014 instance, this will tell you where your main database files are, e.g.:
Copy your extracted
AdventureWorks.mdf file to that location, then attempt to attach. That should work. The reason you probably can't 'see' the directory you want is that SQL Server does not have access to it. You might also try running SSMS as an administrator.
Alternately, grant the SQL Server service account access to the current location of your .mdf file and script the
CREATE FOR ATTACH:
CREATE DATABASE AdventureWorksDW2012 ON
(FILENAME = 'C:\Program Files\Microsoft SQL Server\MSSQL11.SQL2012\MSSQL\DATA\AdventureWorksDW2012_Data.mdf' )