Normally when you export your invoices, at the bottom prompt (open/save) you are supposed use the down arrow on Save and select Save As. This allows you to save the export file to a location you have setup to store these files.
However, if you just click the Save button instead, the file will be saved in your Downloads folder.
You can import the file from your Downloads folder, however, it is recommended that you move that file into the proper folder with your other export files prior to importing.
Moving the file first does two things. First, it keeps all the files together in one folder in case you need to find the file again. And second, many accounting programs remember where you imported the last file from, and changing it to Downloads, will change the default folder for your next import.