I'm trying to download and use brushes from the Market.
I hit the Download button but have no idea if the brush has downloaded or if it has, where it is.
I have CS6 installed via a disk - i.e not on subscription - is that the problem?
The downloading stage of obtaining new brush sets is entirely down to whatever browser and operating system you are using, but if you are using Windows, most browsers use the Download folder. Chrome sometimes has me guessing, but if you open its Settings and click on Advanced, you can see and change the download location. (forth panel after Advanced)
This link gives you the Photoshop file locations
I prefer to use the App Data folder path. Unzip the brush sets and drag to that folder, and they will be there when you restart Photoshop.
Thanks very much Trevor