Where should I go to claim my provident fund?

You need to find out in which fund your money was invested and who administers that fund. These administrators would have forwarded your money to an unclaimed benefits fund. This is the fund you ultimately need to contact, to claim your money. Your first port of call should be your old employer (try the staff manager/payroll department or HR department). If necessary, they may give you a contact detail at your former holding company; the HR department there can then hopefully guide you further.