OpenGL files go in the System/System32 folder which is in the Windows/Winnt folder (if you are using Windows) - for versions before Windows 2000, it's system, for Windows 2000 and later, it's system32. (Easiest way of doing it is to search for the name of the file you downloaded - you should get 2 results - the one you have downloaded, and the one the system is currently using)
Shane
