probably a dumb question, but where do you download this file?
It doesn't matter, as long as the .exe and the .bin files are both in the same folder when you run the exe.
Even your desktop would work, though not very practical if to want to keep the installers.
Edit: I thought you meant where do you download to, but in case you mean where to you download from.
setup_nwn_diamond_188.8.131.52-1.bin is half of the classic installer. (that is it doesn't include the Galaxy client.)
Go to your account at the top of the page and then games, and on Neverwinter Nights Diamond click the small down arrow that appears when you move your mouse over the game, then view downloads.
Mine goes straight to the classic installers, but you might have to choose classic installers if this is your first time.
There are two files there, setup_nwn_diamond_184.108.40.206-1.exe and setup_nwn_diamond_220.127.116.11-1.bin