If you didn't download it from Amazon (which it doesn't sound like you did), it's probably not in the Kindle for PC's 'My Kindle Content' folder. It will be wherever you told your browser to save it (or wherever your browser automatically saves downloads). Since Kindle for PC is the default application for mobi files, it automatically opens it when clicking on it.
What I'm guessing is happening, though, is you are clicking on the ebook file on the website and choosing 'Open' instead of 'Save As'. That would explain what you mean when you say; "the download site keeps sending copies to Kindle for PC."
I'd suggest going back to the download site, and trying to click on the download link again, and this time, choose 'Save As' or 'Save File' instead of 'Open'. The browser should then prompt you where to save it and you can make note of the location.
Hope you get it worked out.
