This is an old question, but so many of the replies were either misinterpreting or snarky that I really couldn't tell what they were trying to respond to. Coffee(...Man) wanted to download but not install El Capitan. This is pretty common for people who want to create an install drive, but he wanted to because he wanted to save it for later.
OS X downloads from the App Store are treated like an upgrade, so if you want to wait to install it, you have to go to the App Store preferences and deselect "install app updates." Otherwise, it may pause after download and wait for direction and after a bit install it in the most logical place, but most upgrades just install without the pause.
This is why a few folks were arguing about whether it installed automatically or not. It might, depending on whether you have that pref set.
Once that file is downloaded, it should be in the apps folder as described by others. There are some nice little tutorials like the one on "OS X Daily" called "How to Create an OS X El Capitan Boot installer USB Flash Drive."
Take care, all.