Not sure what fatrat is, but if you downloaded it from firefox, I belive it
is Cntrl + Shift + Y to bing up the download dialoge box. You can then
right-click on the file that was downloaded and select "open containing
folder"... Also you can bring up the dowload box under tools menu, if that
key combo doesn't work for you. If you downloaded some other way... well...
try again and note where it gets downloaded to, or else go to gnome menu
Places -> Search for files, and type in the name of the file you
downloaded. If this is a compressed file, you will have to extract it, use
the terminal to navigate to that file created when you extracted, do
./configure, make, checkinstall (or makeinstall) to install it. check
install is best so you can also cleanly unistall it.

check your downloads folder?

Downloads will go to the folder that your browser is set to send them to.
Likely places are Desktop, Documents,
Downloads and your home folder.

I got FatRat from Getdeb's repositories and installed it with Synaptic. Just
sdd getdeb to your sources list following these instructions:
www.getdeb.net/updates/Ubuntu/all#how_to_install

If you used Firefox to download it, from Firefox select Edit/Preferences. The
Main tab has a section for downloads, including "save files to" and the folder
location.

From Synaptic, you will probably need to install the package:
build-essential

You don't need to install build-essential for this. At least I did not. I
got it as a deb package from getdeb.net. All I did was sudo apt-get install
fatrat once I added the getdeb repo to my sources list. If he is compiling
from source then he is wasting his time since a deb is available, unless he
likes wasting time.