Normally they go to a folder called sdcard0/Download, but not all files go there. If you download music from a service such as google play or Deezer (without buying it) it goes into an inaccessible hidden folder to prevent it from being copied and stolen. To find accessible files I suggest you install a decent file manager such as ESfile explorer and search you phone for .mp3 files for music and the relevant extension for other types.
Not sure if there is a limit on download size other than the reliability of your connection.
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