You can put them anywhere you like, really. Just go to the Content Library and add the folder as a base directory under "DAZ Studio Formats," or use one of the folders already there. Try not to install into the inbuilt folders under your user folder on your system drive.
If you purchased content from the DAZ store, I recommend using the DAZ Install Manager. Content purchased from other stores must be extracted to a Content Library folder, as described above. Only DIM-installed content will show up as Smart Content.