If it was a free download, just go through the process again. When you get to the bit where you're presented with a dialogue box asking you to choose where the file should be saved to, see where the current default location is. That's where your original download should be.
At that point you can either abort the second download or continue with it (but carefully selecting a better location for the download). Font files are so small that you needn't be worried about have two identical files taking up disk space.
If you choose to download again and (unusually) its a 'ttf' file, you can put it straight into your Fonts folder (which should be a sub-folder within your main Windows folder).
If (as is more likely) it's a 'zip' file, select your Desktop as the download location. (It's hard to lose it there!). Double-click on the file and extract it to your Fonts folder (or extract it to the Desktop and then move it to your Fonts folder). You can then delete the zip file.
Chris