Can't locate it anywhere. If it is not a default font, can I download it some how to use in my project?
If you're on a Mac, it's part of the default OS install (at least up to 10.6). Licensed by Apple from Linotype.
If you're on Windows, you'll probably have to purchase
I'm on Windows, Do I have to purchase from Adobe? Or on my computer and import the text into AI?
Adobe doesn't sell Zapfino. I would check out MyFonts.com or Linotype