If you are on a MAC, check your downloads folder or your desktop.
If you are on a PC, here is more from the Microsoft website: Where are downloaded files saved?
When you download files, Windows usually saves them in the Downloads folder which is located under your user name in the users folder on the drive where Windows is installed (for example C:\users\your name\downloads). When you are saving the file, you can choose to save it to a different folder. Some different types of files are saved to different folders by default.
For example, if you right-click a picture on a webpage and then choose Save Picture As from the menu, the picture will be saved to the Pictures folder by default. If you're not sure where the file was saved, you can search for it from the Start menu.
NOTE: For Windows users, you might have to temporarily disable any pop-up blocker or internet 'security' software to while you download the file. For whatever reason, these programs cause a lot of issues with file downloads. You can turn them right back on after you have finished downloading your files which should only take a few seconds to a few minutes.