I'm assuming you're downloading from a browser, and can't find the files you're downloading. If you're using Safari, go to the Safari menu and select Preferences. A window will open. Click on General at the top. About halfway down, you'll see the line "Save downloaded files to:". That's where downloads will be saved on your Mac. You can change it here, or go to the location indicated and your downloads should be there.
If you're using Firefox, go to the Firefox menu and select Preferences. Click on Main at the top. About halfway down you'll see a radio button "Save files to". That indicates the location where downloads will be saved on your Mac. You can change it here, or go to the location indicated and your downloads should be there.
If on the other hand you mean, where do I find Mac files to download, a good (and safe) place to start is
MacUpdate: Apple Macintosh Software & Game Downloads. Another good resource is
Mac OS X Software Updates and Mac OS X Downloads - VersionTracker.
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