first, make sure you are using the stock messaging app and not handcent. for some reason, you can't save the ringtone attachment if using handcent. When you open the message and the ringtone, touch the menu key and then 'select attachment' and make sure you enable the green checkmark.
Now, about where it is and how to move it into a file called ringtones:
on the home screen press Applications icon. Find and press My Files. Press the folder called 'download.' your ringtone should be in there. Long press the ringtone, select Move and at the top press Create folder. Then name the folder "ringtone" if you'd like.
Hope that helps
P.S. when you have saved the ringtone attachment, it should show up in your music player. you can long press it and choose "Set as" and the option will come up that allows you to assign it to a contact as a caller ringtone