I can't tell you where it is with certainty. That said, I suspect that it's in a folder called, "Downloads," in your home directory.
You don't mention which library you downloaded. I suspect that it's the Open Music Labs FFT library, accessed from here. If that's so, then you should have downloaded a file named "ArduinoFFT2.zip," or maybe its predecessor, "ArduinoFFT.zip." If you have a folder called, "Downloads," I'd recommend looking in that folder for a file with one of those names.
If you don't have a "Downloads" folder, or you don't find it there, you can use your operating system's search feature to look for files that start with "ArduinoFFT."
If you identify the library you've downloaded, and your operating system, we can help more effectively.