where does this download? can't find it after i install

Safari downloads to the Desktop by default or to your /Home/Downloads/ folder unless you've specified a location.

It would be helpful to tell us what "this download" is.

The malware removal tool runs automatically in the background and is then deleted. Don’t look for something to click. If the malware is removed, you’ll be notified.

I'm not sure about security updates but typically updates get saved in

/Library/Updates

However, once the update runs or you restart the mac, they tend to self-delete.