To determine if it is actually downloading use Launchpad. You should see a fairly obvious new icon with an associated progress bar. Make sure you check every Launchpad page by swiping left / right.
If it's paused, click the icon to restart it.
Once it completes the icon will appear in Applications and Launchpad, it's just easier to find in Launchpad.
When it's finished downloading it looks like this:
The following will also appear in /Applications:
It will be erased after the installer is finished with it, so if you don't want that to happen you must copy it to another location such as ~/Downloads. Dragging it there while holding an option key will do that.
To move it to another location hold the ⌘ key.