No problem.
Download your files? Where you want. Normally when you ask you computer to download something, you can choose the folder they'll be downloaded to. Personally Firefox downloads automatically mine to the desktop. Very easy.
But if you can't find, perhaps in My Folders, or in a folder called Downloads... dunno. Try searching for your file automatically. (Don't know the name of the program in English. I'm on a French XP Home edition.
So remember, before pasting new files in one of the game's folders, get rid of "read only" in this folder and perhaps make a copy of the existing file, in case the mod goes wrong.