You have to put it in your Minecraft saves folder.
I like to create a shortcut on my desktop to this folder.
- Right click desktop and choose New -> Shortcut
- Location will be: %appdata%\.minecraft
- Give it a name
Once you do this you can just double-click the icon to open the folder. In here there is a saves folder where you put downloaded worlds.
This is also where the texture pack folder is for adding new texture packs that are downloaded.