If you write a simple script, or download a one component utility, where do you put your script or utility module? Generally, you can put it into any convenient folder on your system. It's your system, after all.
Having copied your script to any convenient folder, Windows has to know to search that folder for your script, when you try to run it. If you run "ipconfig", for instance, Windows looks into "C:\Windows\System32" to find program "ipconfig.exe". Windows knows to search that folder, because "C:\Windows\System32" is in the Path in Windows.
I don't recommend putting any custom files in "C:\Windows\System32", or in any of the other Windows folders, for several reasons. I setup a special folder, C:\Utility, where I put all of my scripts and simple utilities. Having setup and populated "C:\Utility" with several dozen useful programs, when I run one of these utilities from a command window, I like to simplify things a bit.
If I were to simply copy program "MyUtility.exe" into my utility programs folder "C:\Utility", then open a command window, I would expect to run MyUtility as "C:\Utility\MyUtility". Typing "C:\Utility\" gets pretty monotonous after a while. Fortunately, with Windows, you can tell the system to look into your custom program libraries, like "C:\Utility", for any command that isn't entered with a complete path.
The system Path variable contains a list of all system libraries, and you can add your libraries (folders) to the list.
Open the System wizard (either Control Panel - System, or My Computer - Properties), and select Advanced, then Environment Variables. In the System variables window, you'll find an entry for Path. Double click on the Path entry, and you'll get an "Edit System Variable" window, which contains the current value of Path. My current value, for instance, contains:
%SystemRoot%\system32;%SystemRoot%;%SystemRoot%\System32\Wbem;C:\Utility