Yes, I guessed you were on IE. But IF you had been using Firefox, you would have seen Firefox install the file ONLINE, simply by you opening the file when it asks you what should happen. This is a very fine feature.
Further more, as Carol said, you don't HAVE to have the file placed in the Mozilla folder, if you choose to download it (which you shouldn't, if you met it at Mozilla's), because Firefox will place it the proper place, if you open it via FF's "Files > Open...".
Now remember to hang up a sock of yours tonight, Sarah. Preferably by the fireplace :-)