When you download files from the internet to your Mac, these files will by default end up in your Downloads folder. You can find your Downloads folder by first double-clicking on your "finder" icon, in your dock:
This will open up a "finder window". Within your finder window, you'll usually find "Downloads" as one of the options on the far-left side:
The above screenshot shows OS X 10.7 "Lion". If you're using 10.6 "Snow Leopard" or 10.5 "Leopard" the icons will look a bit different, but the finder's overall function and layout is the same
If you can't find "Downloads" under "Favorites" or "Places" on the far left, find you "home" directory. This will be a little "house" icon with your name next to it. You can locate "Downloads" inside your home directory:
You can also use finder's "Go" menu, which is on your top menu bar, to open up Downloads:
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