Most computers/browsers default to a certain location automatically - oftentimes, this is a folder called "My Music" or “My Videos” within the main "My Documents" folder on the hard drive. AOL users often default to "My Downloads" within their AOL folders and iTunes to their own iTunes music folders, etc.
You can always tell your computer where you want to save your files by opening your player of choice, and configuring the destination folder or location from the top options menu. You can also control this by changing your browser settings. However, we strongly recommend that you choose to save the file on your desktop from the download prompt so it is easier for you to access after the download is completed then moving the file to your desired location.
Important note: If you have not designated a folder of choice for your downloads yet, it is possible your download may have gone to your temporary folder.