Hey @AxelGamez, welcome to the Community.
Hope you're doing great!
Spotify premium allows you to download playlists for offline usage inside the Spotify client, you can do that by pressing the "Download" slider at the top of the playlist. This means you will be able to listen to tracks when you don't have an internet connection.
If you want to the location they are stored then when on Spotify, go to Settings > Show Advanced Settings > Offline Songs Storage and there you would be able to check the location where your songs get downloaded.
You can't however take those tracks (or any Spotify content) outside of the Spotify client for use in another program as you do not own the tracks.
Hope it helps! 🙂