Do I need to download migrate upgrade module if use drush command? Migration Drupal 6 to Drupal 8.

My Drupal 8 site is located at /domains/example.com/public_html/drupal8site

Step 1: Install Drush

Step 2: Browse my drupal site cd /domains/example.com/public_html/drupal8site

Step 3: Use drush command drush migrate-upgrade --legacy-db-url=mysql://user:pass@12.34.56.78/d6db --legacy-root=http://example.com 

If I using Drush migrate command above, do I still need to download the Migrate Upgrade module? If yes, where should the module file located?
No. You don't. In Drupal 8.1.3 This module is part of the core.

To have the full list of drush upgrade commands you would need Migrate tools  module though.

See here for more details.