Look in the Downloads section of your web browser - for Internet Explorer, Firefox, and Chrome it's [Ctrl]+[J]. It should show you what you have downloaded and provides an option to open the folder in which it was downloaded to, or you can double-click the item in the downloads window to run the installer.
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im sort of understanding what nealeh posted, but to make sure i understand fully can someone tell me what i should do from going onto this page: http://www.adobe.com/special/premiereel/downloads/ and pressing download AllContent1 for windows on the premiere elements 9 tab, what should i do from there?
After you press the download All Content1 for Windows, then you would first be provided with a pop up window saying, 'Download Akamai Netsession Interface', you need to click on the link 'download the installer'.(This is not the actual content but a Download Manager to download the content)
Then know your Download location(see nealeh's post), go to that location and double click the Akamai_NetSession_Installer.exe file.
It will provide you with a 'Please select a download folder' window. Now you an browse through directories to any location(where you want the download), and select the location, click OK.
The Akamai Download Manager will start downloading your content.
After it completes, your download will be at the location you specified.
A dialog box will come saying 'PremiereElements_9_Content_ALL.exe' is a file which was downloaded from the Internet. Are you sure you want to open it?
Then follow the Installation steps.
If the dialog box does not come by itself, go to the download location and double-click on PremiereElements_9_Content_ALL_LS15.exe