Hi @fiservman,
usually download depends on your browser configuration: you should be able to see in the download page of your browser where the msi file is downloaded, usually "Downloads" or "Documents".
Anyway, in the downaload page (https://www.splunk.com/en_us/download/splunk-enterprise.html#) there's also the way to manually download the msi file using wget:
wget -O splunk-8.2.2-87344edfcdb4-x64-release.msi 'https://d7wz6hmoaavd0.cloudfront.net/products/splunk/releases/8.2.2/windows/splunk-8.2.2-87344edfcdb4-x64-release.msi'
Ciao.
Giuseppe