You should never download and run in one action for any program IMHO.
Select save as or Save file as and choose a location on your HDD that you can find it again, once downloaded go off line and install off-line.
As far a where it gets saved to that is down to you and your settings many people download to the desktop others to my documents, avast doesn't have a specific download location that is up to you and the system settings.
Do a search in windows explorer for setupeng.exe the Englich version of avast.
