Where is the path for the dowloaded file with WebRequestMethods.Ftp.DownloadFile

I used FtpWebRequet  to connect to a file in a website. I than useWebRequestMethods.Ftp.DownloadFile to download the file. No error to run that, but I do not know where is the folder for the file.

Can we speicify the location of the download file WebRequestMethods.Ftp.DownloadFile?

Kindly advise. 

TS Lim