Go to The Smartphone Reinvented Around You | Windows Phone (United States). Log in using the Microsoft account you used to set up the phone, and go to "find my phone." It will show your phone, and you can search for it's location. It will also show you the IMEI number, and you can erase and lock the phone to keep your info out of others hands.
The IMEI will also be on the box or maybe on the receipt.
Actually you do not need the IMEI to "find your phone".
But "find my phone" will only work if you enabled it in settings.