If you can't find the file you can use the Windows "find files or folders" if you remember the name.
If you don't remember the name:
1. Find files or flders named *.zip. Most of these are in .zip format and Windows will find every .zip file on your HD.
2. Get back into your browser and start to download a file. Note the folder it's going to. That's probably where you put the scenery file.
Here's a scenery tute
http://www.simviation.com/lair/fs2002sc.htm. Like everything else in FS it's only hard the first time.