I have a folder in my Documents called FSX-SE Updates. Within this folder, I have multiple folders; Airplanes, Gauges, Scenery, Misc. I do this so I can backup the original files to this folder & copy the new files to the FSX folder. File management.
To download (If you are not a paying member), go to the (I'll use Aircraft as an example) aircraft of your choice, select the green 'download' button. You will be taken to a screen asking if you are a freeloader or a paying customer, I always choose freeloader. The bandwidth is throttled so if you are downloading a large file, it may take a while (ie: 1 meg per minute +/-).
It 'should' ask you where you want the file downloaded to. If it does not, this issue is on your machine, in your web browser. You need to go into the settings & change your download settings to 'always ask'. Then you can pick where you want the download to go.