I don't know what phone you have but, there are a couple of possiblities here. Let's go with the simplest one first.
Go to your app drawer and there could be/should be something in there called "Downloads". If there is, it should take you right to it.
If that doesn't work, download Astro File Manager or ES File Explorer and use it to search if you know the file name or navigate to your SD Card folder and see if you can browse and find it.