When clicking the option to download WishList Member, it should place the file in your selected location on your computer. (Some browsers will automatically place the file in the Downloads folder).
This could depend on your browser. Chrome and FireFox are popular options and FireFox will typically show a blue arrow on the top right once the file is downloaded and you can grab the file that way.
Chrome will show the download on the bottom left of the browser with a small Up arrow that can be clicked to access the downloaded file.
More info can be found in the Installing WishList Member Knowledge Base entry.