Yes you should get a choice.
I usually have to search for mine not quite worked it out yet.
A pop up box appears and says file or something like that can be found in.[I am not sure if it says c/documents or my documents.]
A while since I downloaded anything on W/7 but I cannot remember if you can run the download or it automatically saves it to my documents or my computer and you have to run it from there.
Hope I am not confusing you but it is not as straight forward as XP.