the eCommercew database is a .sql script file that is used to create the database tables in your MySQL server.
it is not really important where the .sql file is saved to, use your documents folder if you like as an easy to access and remember location.
in the learning center:
there is a tutorial titled "How to import a MySQL (.SQL) file to your database" that will walk you thorough using the downloaded.sql file to create the tables.
in PHPMyADmin, you will need to first create a database, then select it before running the script to create the tables.