Where do my game downloads go

so I found a site where you can DL games its kind of a long process to get to ones that are compatibale to our phone but they have some good ones like dope wars and soduku...and zelda, but where do the downloads go...the phone brings up a dowload bar and everything and if I try to re-download it, it tells me its in the phone already. Basically, after you download something where does it go?

the website by the way is:
www.mobilerated.com/wap/samsung-sch-r800-delve-games.html    

I downloaded it and I don't know where it is.I downloaded opera mini and it didn't show up either.

has anyone found an answer to this question yet? i also cannot find where anything downloaded through the browser goes, thx

i have us cellular and was told the only games i can get is the ones i buy from us cellular thru easyedge.