Every executing program has a current working directory. Often times, it is the directory where the executable lives (if it was launched in a "normal" way).
Since you didn't specify a path (in fileName
), the file will be saved with that name in the current working directory.
If you want the file to be saved in your downloads directory, specify the full path. E.g.
String fileName = "C:\\Users\\YOUR_USERNAME\\Downloads\\Death Grips - Get Got.mp3";
Note how I've escaped the backslashes. Also note that there are methods for joining paths in Java. There is a way to get the current working directory in Java.