Where should I store the files for python modules I install?

Question

If I download a module for Python (such as alglib) and installing is simply a matter of running

python setup.py install

Where should I be keeping the files I download, or the files that get created after I run setup.py? Is there some neat folder in the python directory that people put these modules before running setup.py? Can I move the files around after running it? Can I delete them... or will that stop them working?

I couldn't find any recommendation here: http://docs.python.org/2/install/

Also I am running windows and installed python through python(x,y)