Where do I put the binary file downloaded by Setup.command?

Trying to build unreal4 on a mini-mac running MacOS 10.11 When I run Setup.command, it fails with the error “Failed to download http://(very long url) The request timed out”. After no luck fooling with network proxies and such, I tried the URL reported. It worked - now I have a 578MB .gz file which unzips to about 2MB.

So, where do I put this file? Do i need to do anything with it before going on to the next step, running GenerateProjectFiles.command ?