There are so many variables between different browsers and platform that there really isn't an easy "blanket solution" I can think of that would work for everyone, or that would always put the downloaded file in the same place for everyone where you could tell all buyers to "Look for your file on your computer here."
I think perhaps your best bet is to know the exact filename that buyers are winding up with, so you can tell them to use the built-in Find feature of Windows or Mac OS X to search their computer for that filename. This page explains how our system determines the filename of downloads:
You can use your Seller Admin > "Send free download link" to send yourself a link to download a copy of the file and see what filename buyers are actually saving by default whenever they download your product. You can then advise them to search their computer for that name. You may also want to advise them to search for just the first part of the filename without the final extension, just in case their computer is set to hide extensions.