Ubuntu download problem

I'm trying to download Ubuntu. Windows XP has it downloading in "temporary folder" with no option to change this. It seems to fully download successfully but when I try to download the Universal USB installer and get to the point where I'm to "browse" for the file, I can't find said "temporary folder". The screenshot on the installer shows it coming up in the Desktop, but nope. I've tried a search using 'ubuntu' as the key and nothing. Please excuse my ignorance, but what am I doing wrong? I'm attempting to get a bootable UDB drive so as to do a clean install on a new computer I'm building. I am, btw, totally unfamiliar with Ubuntu or any other Linix system & intend to use this computer to learn & see if I can make it do what I need. Thank you.