You probably did not download the wrong file. If you go through
http://gimp-win.sourceforge.net/ then you get a regular gimp installation file 'gimp-2.6.12-i686-setup-2.exe' which is about 21 MB. The above link downloads a file with the same name but about 50 MB because as the link implies it includes python files needed to run python plugins.
Back to your original question, where does it all go in Win7, I still have some screenshots from a similar question.
http://i.imgur.com/VXFok.jpg - just ignore the red lines. The Gimp installation is in a folder under "Program Files" {Program Files (X86) for Win7 64 bit)}
The first time you run Gimp it makes a "User/<your account>/.gimp-2.6" folder where you can put any brushes, extra scripts etc that you want.
It should be there, does your file browser have any "don't show hidden files" settings? I normally use linux and I can't recall the win7 settings.