Small correction to what stefanero said: it should be in your home -> Documents -> aMule Downloads. This is the default for newer versions of aMule. However, if you have an amule.conf that was initially configured by an older version, it will still be using ~/.aMule.
If you're looking for the .aMule directory, you should know that under Unix-based OSes, a name starting with a period makes a file or folder hidden. It won't normally be visible in, for instance, the Finder. However, if you select the Go -> Go to Folder menu item, you can type "~/.aMule" and the Finder will open that directory.
If you don't like this directory choice, you can change it in aMule's preference. If you change it, aMule won't automatically move the files from the old location to the new one. You'll have to do that yourself, if you like.