Don't give up, you won't learn anything that way.
find ~ -name Stella6.3_x86_64.1.iso
Then when you have found the directory that it is in.
Use cd to change into that directory. For example
Then checksum it to make sure it matches, not corrupt.
Or specify where to download it to before you start.
Then burn the .iso to DVD. Don't copy it over.
Start using Google or Yahoo to search for answers to these problems, there are scores of answers to searches like
How to use cd command linux
How to burn DVD linux
How to use find linux
You can look at a man pge for just about any linux command.
You can search for a file on your machine with any utility that you have.
Find, kfind, gfind, catfish, locate etc. How to find a file on a machine is a basic question, and you'll have to learn how to do it regardless of the OS that you are using.
You'll also have to configure firefox for a download directory, regardless of the OS that you use. So open up the preferences in Firefox and see where download are set to go.
I'll buy a DVD of Stella instead.
You're still going to have to learn how linux works if you are going to use it.