A Youtube video-
UPDATED: Lightroom Tether for Sony Cameras (A7RIII & A7III) - YouTube
The Sony software does the tethering and ports the images to the computer (into a 'Watched' folder)
"where would I find these empty folders?"
Lightroom uses its "Auto Import" function to read the 'Watched' folder and moves the files to a 'Destination' folder.
The 'Destination' folder can be changed from the Lr Menu- File>Auto Import>Auto Import Settings...
Auto-import photos into Lightroom Classic
(Note: You can't choose an existing folder that contains photos as a 'Watched' folder.)
Regards. My System: Windows-11, Lightroom-Classic 15.6, Photoshop 27.8, ACR 18.7, Lightroom 9.4, Lr-iOS 10.4.0, Bridge 16.0.3 .