By default when you download or open anything from the internet and click 'save' it will be saved to a temporary folder. It often gets saved in this location: C:\Users\"username"\AppData\Local\Temp
You should be able to narrow down what file it is by 'date modified' in the 'detail' view of the folder. This video will walk you through the process: Watch this video and find that file! 
NOTE: The temp folder gets erased each time your computer restarts. A safer location to save is in the 'Libraries' >> 'Documents' folder [In Windows].