He's using mozilla firefox I imagine.
Mozilla just downloads the files to a folder called 'TEMP', I think. You must then move it from there.
Instead, just use internet explorer to download add-ons. It's the best option.
Firefox downloads to the "Downloads" folder (at least for Vista, found in C:/Users/[Yourusername]/Downloads) by default. You can have Firefox ask you where you want to save a file each time you download something by going to the
Tools tab, going to the "Main" tab of the
Options menu, and clicking the circle next to "Always ask me where to save files".