The quick way is to find out current directory (the Present Working Directory)
pwd
and copy the file to this folder.
If you like to keep the downloaded function(s) separated from your mfiles, which is always a good idea, you can create a folder somewhere on your system, e.g.,
/Users/Lim/FilesFromMatlabCentral
and add this folder to Matlab's search path
addpath('/Users/Lim/FilesFromMatlabCentral')
If you download a whole package with lot's of files that are all in one directory, say, "Awesomefunctions" you have to add this directory
addpath('/Users/Lim/FilesFromMatlabCentral/Awesomefunctions')
If the the Awesomefunctions contains itself some subfolders, you use
addpath(genpath('/Users/Lim/FilesFromMatlabCentral/Awesomefunctions'))
If you want to permanently add this path for future sessions of Matlab, use
savepath
If you more into clicking than typing, just use File -> Set Path ... -> Add Folder (or Add with Subfolders) and then Save the path.
