Downloads will typically save to the Downloads folder on your computer.
If you can’t find them there, check your browser settings to see what folder you are directing your downloads to.
For Safari:
1. Preferences
2. General
3. File download location
4. Downloads

For Firefox:
1. Preferences
2. General
3. Files and Applications
4. Save files to
5. Downloads

For Chrome:
1. Preferences
2. Advanced
3. Downloads

This will show you which folder your downloads are saving to and give you the option to change it.