Google Music doesn't allow downloading of your entire library, a playlist, artist or genre by via a single click download. However, if you have a rooted Android phone, there are ways around this which are described well in this post.
If you have a mulit-user Android device, the location of the music files is not well document.
For the main Android user, the downloaded Google Music files can be found here on a rooted phone:
For other users, their downloaded music can be found in this directory