Whenever you download a file you should see a pop-up at the bottom of your screen asking whether you want to run the file, save it, or save as.
If you choose Run, it will do that without saving the download.
If you choose Save, it will default to the Downloads folder under Documents.
If you choose Save As, you can save the download to a location of your choice.
Whenever I download large files in particular I always save them to a folder on my external hard drive as backup so that they are there for the future if I need them again.
Have a read through the tutorial I linked you to.