Downloading issues on Windows Vista

I went on the internet on a website and wished to download something called 'Perfect World' and up comes a screen that says "What do want to do with this file"? There are two options: Save file, or one that says 'Down them all!'. I click 'Save File' because I don't really know what 'down them all' means. I know it probably saves it to SOMEWHERE, but how do I get to it in order for me to download it from FireFox? Thanks!