Downloads folder?

Where do downloads land on my iPhone SE? I cannot find my pdfs, text documents and ringtones that I sent to myself and downloaded onto my iPhone. Where is the download folder? Also, how do I then, once found, change my ringtone to my Eddie Izzard ringtone? And how do I change my boring alarm to an exciting Eddie alarm? In fact, where is "my alarms"? I can't find the app/program on my phone. Sorry, first iPhone, not very happy as yet. It's all very time-consuming to find things even with Siri.