G'day and welcome
"It" is ill defined in your question as there are a very numerous things that may be downloaded.
So could you please clarify the "It" you wish to download thus making it easier for members to help you achieve what you want to download.
We can only assist you when we are able to understand your problem and @KGIII 's link is a good start in helping your ask your questions so we can help you solve your situation.
If you are talking about where you download the iso for installing a GNU/Linux distribution, you just go to the website of your distribution of choice, find the download section and then download there iso. You can start by looking on distrowatch to see an overview of most of the GNU/Linux distributions.