It will be where ever you have prompted your browser to download to by default. This is normally your downloads folder but you may have changed the location/folder into which your browser places downloaded file(s). When you capture, NCapture prompts you to name the file and the file extension is "File Name.nvcx". A window then opens showing your current downloads location. This is where you will find the NCature content. You then import the nvcx file into NVivo using the 'external data->NCapture icon in the ribbon.
Let me know if I have not explained this properly or if I have misunderstood the question