This page provides a way to download various types of software and other miscellaneous files from the site.  When the 'Download' button is clicked, it depends on the type of file in Windows as to what Windows will do with it.  To save the file to a specific location on your hard drive, 'right-click' directly on the 'Download' button for the file you want, and then select the option 'Save Target As...' by left-clicking on it.  As a default location, just save it to 'My Documents'.