By default, all the assets you download from Bridge inside UE5 are placed in the following location on disk:
Win: C:\Users\<user>\Documents\Megascans Library
Mac: ~\Documents\Megascans Library
Linux: ~\Documents\Megascans Library
To change this path, click on the user icon in the top right corner of the Bridge window and select Preferences.
In the Preferences dialog enter the path that you want to save your assets to and click Save.
This path is the same as the default path for the Bridge desktop application. If you have specified a custom path and want Bridge for UE5 to use the same location as the desktop app, make sure you specify the same path in the Preferences of both apps.