Where can I find the download icon on my MacBook Air?

oh ok I understand now. The downloads folder. Easy enough. Open finder, under favorites in the left hand side, drag and drop downloads in between the other blue folders. It will most likely look like a document. To change it to a blue folder, right click on it and check "display as folder".

I am not familiar with a "download icon" in the dock and have been using macs regularly for quite some time. Could you describe what you are referring to, perhaps what it looks like etc?

For the future, it might be useful to know where your downloads folder resides.

In your hard drive, click on Users / your home icon. You will see the downloads folder there. That is the real thing.

The icon in the dock is an alias of the real downloads folder.