The tag on this post is designer cloud, but it's in the designer desktop forum. I'm going to assume this is in designer desktop, not designer cloud. A spatial tag or Business Insights tag would have got the relevant views, as most that have the answers for that, don't use designer cloud yet (longer term users who won't switch until they have to).
I'm not in the US, and don't have a business insights package, but my memory is that the business insights package is the D&B/Demographic add-on and maybe includes Location Analysis, or that is often bundled with it.
It's the Location Analysis package that you are after here, but I don't believe "nearest highway" is a question it's designed to answer. And the definition of "highway" may not be there, especially not as to whether it includes Motorways/Freeways etc.
You are looking for a dataset of all the highways in the US, so that you can use "Find Nearest" to compare your points to the lines/polygons of the highways. If there is not an option in one of the Allocate inputs, or in the address section, then you can look through the yxdb files that store the spatial data for those sets (wherever the package is installed) and find the spatial data for the highways. But this is not a function of the Business Insights/Location Insights, and so there will not be a published list of how to navigate the file structure. You are just using that to extract a dataset it has for other reasons.
Also, this is available other places:
