Hi Boardman,
If you are referring to Windows update then the default location of the update file being downloaded from windows update will automatically be saved in C:\windows\software distribution\downloads.
If you are specifying about a file downloaded from internet manually, by default downloaded files will be stored in the below location: C:\Users<User Name>\Downloads
You may refer the below links to know more:
Downloading files from the Internet: frequently asked questions:http://windows.microsoft.com/en-us/windows-vista/Downloading-files-from-the-Internet-frequently-asked-questions
Updates: frequently asked questions:http://windows.microsoft.com/en-us/windows7/Updates-frequently-asked-questions
Regards:
Samhrutha G S - Microsoft Support.
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