I keep my SRB2 folder on the desktop, but I can't tell you where to put it unless I know where your SRB2 folder is... if you can find the folder where the game's files are kept then simply open it up, right-click on SRB2NET, select copy, and right click in the folder, selecting paste. If its easier you can also click on SRB2NET and drag it into the open directory.
If you do not have anything but the launcher on your computer, then you are going to need to download SRB2 off the main site
HERE or
HERE, or any of the other mirrors there.
Chances are you already have it installed though, in which case all you need to do is copy and paste it in the manner I described above.
Do note that the Launcher is not going to work properly at SRB2ME's release, but you can add wads while playing the game by opening the console (defaults to '~' ) and typing "addfile srb2.wad" without quotes, replacing srb2 with the name of the wad you want to add. At first its hard to remember the spelling for your custom wads, so you may want to write them down so you don't have to alt-tab.
There's also another way to add files, by making a shortcut, batch file, or navigating to it using command prompt and adding parameters after the target path. This is a little more complicated, however, so make sure you know what you are doing. You can find all the list of the commands in
THIS ARTICLE. Many people use shortcuts or batch files so that they can have all of their wads added automatically.
Hopefully this should cover anything you are having trouble with. Hope it helps!