Hey Tom. It depends on your browser settings. If you have opened tableau server using Internet Explorer, it will usually ask you location to save the data source before downloading. If you are using chrome, then it downloads automatically to the location which is defaulted(usually downloads folder) or to the location which is set up by in chrome. Now all this i told is considering that you are trying to download data source in server from your laptop or desktop.
Let me know if you are trying to download data source by logging remotely to the physical server box.