Are you asking about the trainer file?
Wherever you want to. Putting a trainer in the same folder as the game was in the back back very back days.
One idea is to create a new folder, put all your trainers into it and create an exception in your AV.
But when in doubt read the instructions that come with the trainer.
[Edited by moderator Taurusplopp, 2/19/2017 7:20:53 AM]
All Xbox Play Anywhere titles require you to have Windows 10.
There will be no Windows 7 support at all so upgrade is your option now, or don't buy those games at all.