I am using Ubuntu and when I click on a program to download Firefox asks me "What should firefox do with this file?" And in the "Open with" I would like to find a program "Package installer". The problem is - I don't know where to look for. Where is the program stored (I installed it using Ubuntu Software Center)

They are usually stored in the following folders:

/bin/
/usr/bin/
/sbin/
/usr/sbin/

If you're not sure, use the which command:

~$ which firefox
/usr/bin/firefox