In the same folder as the Freeway application itself you should find a folder called Freeway Actions.
If this doesn't exist for whatever reason first check to see if it exists somewhere else as it may have been moved by mistake. If it's been renamed then change its name back to Freeway Actions.
Any actions you collect on your travels can live in this folder and will work quite happily. However it's best to keep things tidy (at least to start with!) so let's create another folder inside Freeway Actions called FreewayActions.com. You can call this what you want really as it's ultimately up to you but let's pretend (just for now) that you'll call it FreewayActions.comNow when you download any actions from this site you can pop them in the FreewayActions.com folder and keep them all in one handy location.