Learn Russian: Вечером я усталый.

In Russian, you often show the time of day by changing the noun into the Instrumental case. The basic word is вечер (evening), and changing it to вечером automatically means "in the evening" without needing a preposition.

Where is the word "am" in this sentence?

Russian skips the verb "to be" in the present tense. You just put the subject (я) and the description (усталый) together. Literally, the sentence is just "In the evening I tired."

Does усталый change if the speaker is female?

Yes! усталый is an adjective, so it has to match the gender of the person it describes. The -ый ending tells us the speaker is a man. A woman would change the ending and say усталая.

Why does the sentence start with the time instead of the subject?

Russian word order is flexible, but it is very common to put background information like time (вечером) at the beginning of the sentence. You could also say Я усталый вечером, but the original order sounds more natural for setting the scene.