In rom manager there's an option to download rom. From there you'll see cyanogen mod. From there you should see the different versions with the most updated version at the top
I recently downloaded the cm7 rom a few days ago and there were some in there. If I were you I would check their website to see if your phone is supported
Basically anywhere on the sdcard as long as you remember where...the install from sdcard option lets you look all through the sdcard
Btw if you didn't know the "root" of the phone or "root" sdcard just means it isn't in any folders