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If you’re downloading it onto a desktop or laptop computer, try searching your device for it or look in your Downloads folder.
If you’re downloading it onto a mobile device (tablet or phone), it can sometimes seem to “disappear.” Typically, this means it landed in a downloads folder on your device. Try googling “how to find download on my X phone” (replace X with your specific phone, i.e. “Galaxy S20” or “iPhone.”)