Well, I connected my iPhone to my Mac and iTunes said that "2.0 firmware update is available..." and I was not sure if I had the latest build of 2.0 firmware, so I selected "Download Only" and the download just got over". Now, where does iTunes download the file to ? Cant find it...

dude, as all the members here, you've got the ability to start a thread.
It doesn't mean you must do it without searching.

[All iPhone Firmwares] System Restore Image (download here)

Once there is a new update, the members here will report it.