How to use drush download file plugin (drush_dlf) project page has no information
If you would like to install the Drush extension drush_dlf, run:

drush dl drush_dlf

If the module you download is a Drush extension (has a .drush.inc file but no .module file), then Drush will put it in $HOME/.drush, where it will be findable by Drush.

If the module you download has a .module file, then Drush will put it in the appropriate modules directory (DOCROOT/modules for Drupal 8, or DOCROOT/sites/all/modules for Drupal 7). In this instance, the command will only be available for that one site.

To stipulate where the downloaded extension should go, you can add --destination=$HOME/.drush (or some other location). Use caution when doing this with any extension that has a .module file, though, as some of these are designed such that they only work when their module is available and enabled.

Finally, note that Drush caches the location of all of the available Drush extensions.  If you add a new extension, you must run drush cc drush before your new command will be available.  Drush does this automatically if you use drush dl to install the extension, but you must do it manually if you copy the files into $HOME/.drush yourself.

Finally, with regard to Drush Download File, the behavior it purports to provide could also be implemented with a simple shell script that simply called drush dl repeatedly, as Drush dl will already place the files where they belong.  Using drush make or composer is generally preferable, but just using drush dl directly is an option if you don't want to do that.