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The download path depends on what app you're using. For example, Firefox defaults to /home/username/documents I believe. Other apps tend to download to /tmp. Most apps allow you define where to download to, I always download /home/username/downloads.
As for the install, it depends on what kind of file it is. Some common file extensions would be filename.tar.gz or filename.rpm or perhaps filename.pkg.run. Many distros have a program like YaST that will install filename.rpm files for you. For filename.tar.gz type files, you have to extract the file, then $./configure, $make, $make install etc. for the filename.pkg.run type files, you can do $sh filename.pkg.run. Most folks will recommend that you allow your distro specific program install things for you, but if you want to install things manually, there's plenty of how-to's here at LQ.
Run the command updatedb, to update the locate database.
Run locate samba. If you get stuff scrolling by too fast to read, wait for it to finish, then re-run the command as locate samba | less. That will pipe the output through less, and show you one screenfull at a time.
Updatedb will make a database file of all files installed on the computer. It the samba package is there, you'll find it.
As for installing, what kind of package? Tarball or rpm?