Downloading CCleaner

I have tried to download CCleaner three times. Twice I tried to save the file and thought it would be on my desktop, but it wasn't. I tried "run" once and the program is nowhere to be found on the computer. How do I download the program to Windows Vista. I never had any problem with XP-Pro but Vista gives you no choice as the the download's destination. Thanks for any advice.

Click Start, you will then see the following:

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Click your name or computer name which is at the top right, in this case it is Nicole.

The following window will now be on display:

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You will find anything that you download in the Downloads folder.