It's probably in your Downloads folder:
Originally Posted by fayanora
The ~ represents your /home directory so is equivalent to:
Note that directory/filenames are case-sensitive, and you can use the [TAB] key for autocompletion. In other words you can type:
sudo bash wubi-[TAB]
and it will autocomplete (assuming you are in the correct directory).
If you're stuck you can just browse for it and confirm the location before you go to the terminal. Or just download the script again and remember where you save it.
hope that helps