We need more info than that. Where are you downloading the game from? And when you start the download, YOU should be choosing which folder to download it into - generally it will be My Documents.
I bet this guy don't know how to shutdown his own system. We can not fight new wars with old weapons, let he who desires peace prepare for war - PROPHET.
usually the "thing" u downloaded shows up at where u already choose to save it, in ur case i dont know if u had chosen to save it in a proper place but im guessing u just saved it randomly.
anyways u could always use the search feature to look for it for the game u downloaded.computers are a second home
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