Once the download has completed, it is advisable to copy the data file to your DATA folder, in my case, this is located here: C:\Program Files\Microsoft SQL Server\MSSQL11.MSSQL_2012\MSSQL\DATA. To get the datafile, browse to the Microsoft SQL Server Samples page on CodePlex and take the AdventureWorks2012 Data File.
After installing SQL Server 2012, it is a good idea to download and add the sample database to your SQL Server instance.