I have two files, the first one has information and the second one has KML locations, So the idea is that I need to take every KML location that I have in the second file and add data on it that I have in the first file, so how I can create one Qgis Layer that include all the KML locations with their information.
Sounds like you might want to do a "Table Join" to bring together a geographic dataset with a tabular data source... something that QGIS and other GIS packages can do. You'll need to make sure that your KML file can be imported into QGIS, so it should have only one geometry type (points, lines or polygons). And you'll want your "information" file to be tabular like a spreadsheet or CSV file with uniform rows and columns of data. Finally, you will need to have unique identifiers in both files, to match the features in the KML file with the rows in the "information" file. If you have all those things, then you should be able to "Join" the tabular data to the KML, and export it all as a new KML, a shapefile, or some other format. IF your "information" isn't in a tabular form, and/or doesn't have unique identifiers that match your KML features, then can you create a table/spreadsheet like that from it? You can look up Joins in QGIS, like here: https://www.qgistutorials.com/en/docs/performing_table_joins.html