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Why would you expect the API to get installed anywhere? You should just be able to unzip the file you downloaded and look at the API.
You haven't given much information to go off of as to what you are trying to do with the API exactly, other than you downloaded it.
If by the "API" you mean the Javadocs, as the other reply said, you can put them anywhere that's convenient (i.e., no classpath compile issues or anything like that). If, like me, you find yourself downloading a lot of Javadoc bundles, you might find convenient to put them on shared server, so other developers can access them (assuming you're in a corporate environment). Or perhaps just in a "docs" directory on your hard drive, if you're the only one who will ever use them.
The one caveat I would add is that if you upgrade to a new version of the API, don't forget to replace the Javadocs as well. Otherwise you'll find yourself looking at outdated documentation, possibly without realizing it.
Moderator action: Moved from New to Java