First of all remember wherabouts on you hard drive you have put it, I usually start off with 'desktop' then move elsewhere later. If I decide I don't want to keep I just delete it, it normally goes into recycle bin where it can be retrieved from just in case it was deleted in error. Once you empty recycle bin though it's gone for good.
You need correct software for file downladed, e.g. MS Word for .doc file, Windows Media Player for a music file etc.