When you download a file from a server, it does not make any difference for the server if you save the file locally or not on your machine.

So during a load testing, NeoLoad does not store the files that are downloaded since it can be a huge amount of data to store.

Nevertheless, there's an option in NeoLoad to store the response data into a file. The goal is to check the content of that files later one if needed. The files are store on each Load Generator that are running your virtual users.

Note that when you enable that functionality the Load Generator will use more resources so i would suggest you to check if your Load generators have sufficient resources to do so.

For more information, please look at the NeoLoad documentation here