This is a real problem because I do not find any references in the forums about a missing App_Data folder.
If I get this worked out maybe it will help others.
Straight to the point: The script to upgrade to 2.1 instructs me to "Remove all files from the previous version except App_Data\Settings.txt and App_Data\InstalledPlugins.txt.' There is no App_Data folder.
More information...
The site url is shop.drosdick.net. 1.9 is the installed version. It appears to work just fine; except for the fed ex calculation giving different results for shipping costs than the fed ex web site.
I used the Web Platform Installer to install 1.9.
I found a settings table in the DB and it looks like it's got all the settings. But from reading the forums I am afraid to attempt an upgrade.
I read that when using wen matrix the settings are stored in App_Data\settings.txt. I did not use web matrix I used the web platform installer. I think that's why I don't have the app_data folder.
I also found this: This is my latest video for the 1.9 upgrade to 2.0
It's an excellent video by the way!
I think I will try to follow the video and see how it turns out.