~/Downloads, which is /Users/your-name/Downloads: the same idea as C:\Users\you\Downloads. It is in the Finder sidebar under Favorites and in the Dock next to the Trash, where a click fans out the newest files.
Safari keeps a list of recent downloads behind the arrow icon at the top right of its window (⌥⌘L); Chrome, Edge and Firefox keep theirs under ⌘⇧J or the menu. A magnifying glass next to a file there reveals it in Finder.
To download somewhere else: Safari → Settings → General → File download location; the other browsers have the same setting under Downloads. Files saved by an app's Save dialog go wherever you point that dialog, and macOS reopens it in the last place you used.
The Downloads folder counts against your disk like any other; Finder → Go → Downloads, sort by size (⌘J → Sort By) finds the installers you no longer need.