Downloadeda ring tone and can't find it.
Ah... a drawback of Android... no native file explorer. Just hit up The Market and do a search for 'file explorer' (plenty of freebies). That'll give you access to your SD card... which is where your downloads go.
Estrong File Explorer would be my recommendation. Allows for file transfer via wi-fi on LAN.
Using a file explorer mentioned above (or mount the sd card using the usb cable to your computer) make a folder called "ringtones" for ringtones, "notifications" for notifications and "alarms" for... you guessed it, alarms! Put whatever support sound file you have there and then go back to the app and select the sound. Each contact can have their own ringtone if you like...