Yesterday I bought Fallout, and downloded it. I can not find the folder or however you open the game, and I really want to play as soon as possible. Please help me.

How did you download the game? What software?

I have Vista if that helps and I used the browser button under where it says download game

How did you download it? If youre running windows and you downloaded it through GOG's downloader it should go to your "Downloads" folder, but if you downloaded through your browser it would go to "Documents/Downloads"

Hit your start button.
there is a search button on the bottom.
Put "Fallout" in the search box.
If memory serves, any file on your computer with fallout in the name will show up.
Good Luck

I see. I take it you use Firefox? Is it in some Downloads folder?

I looked in every folder and its not there

If you used the downloader option, you have to download the downloader and the program(s) that it requires. If you use the direct link download a pop up dialog should pop up asking where to put the file. This is assuming you are using Internet Explorer. (Yes I'm one of those OLD people that use Internet Explorer. (I like living dangerously :) ))
If you are using the downloader, look at the downloader settings. It should show you where it puts the files.
If all else fails you could try downloading it again. (You only have to pay once) You are allowed to download it more than once.

Also, it is handy to use the software called Everything. Finds any file/app/etc... with the typed words. Helps me when I can not find my installers. =) Also, make sure you actually downloaded it.

Whatever went wrong, just download it again and save it somewhere specific so you can find it again.

If you downloaded with Firefox, click Tools - Options - Main (tab)
Downloads and the folder downloaded to should be there. If you used a different browser then the process should still be similar enough for you to figure it out.