There will not automagically be a log file from the nRF on your PC. However, you have several options for logging while debugging. Through a debugger you can use UART or RTT logging, where RTT probably has the most advantages. SDK 11 introduces an experimental logging library, which can log to both UART and RTT. You can see how this is used in the Apple Notification Center Service (ANCS) Client Application example.
(If you need to log without using a debugger, you can use UART logging and connect the UART lines to your PC serial port (if you have one) or use a USB-UART Interface chip, for example from FTDI).
