You state that you've downloaded AVG, but have you actually installed it?
If not, go to wherever you saved the set-up file and double-click on it. (If you're not sure, simply go to Start>Search and look for 'AVG').
If you've already installed AVG it should be listed alphabetically when you go to Start > All Programs. There should also be an icon for it among those at the bottom right of your screen.
You mean "download it to"? ... usually Desktop or My Documents folder. Check those.
"Install" is not the same thing. That means to load the program into Windows so it will run!