It can depend on the browser that you use and the settings that you've put in place. By default, Safari will save your downloaded files in the Download folder. It should be visible from the Home folder or by going to Finder, then clicking on Go and looking through the menu for Downloads. Additionally, you can easily access the default download folder by pressing the Command + Option + L key combination.
In case you can't find them there, open your browser's settings and check what folder is written in the Downloads category. (You may need to access the advanced settings for some browsers.)