This depends on where you have chosen to download the file. If you selected Open (instead of Save) when you clicked the Download button from your account page, the music file was probably stored in a temporary folder - try downloading the file again and clicking Save where prompted, then save it in a location that is easy to find (such as your desktop).
We recommend creating a folder called 'My Video Lessons' in an easy to find location on your computer, and save your downloaded video lessons to this folder.