Where are downloaded apps saved when installed on SD card? Yesterday I had ~40 MB of free space on my android 2.2.1 Samsung GT-S5570. I wanted to install Facebook App, so I downloaded from Play Store and then it installed automatically. It's size was ~20 MB. 

This app is installed on the SD card. However, after all the proccess, I got a warning message about low internal memory. I checked the free spacea and surprisingly now it's ~20 MB...
I assume the 20 MB are the downloaded app(something like the .exe in windows).

I searched through .temp and downloads to see if the ".exe" is there but I couldn't find it. I went through browser's settings(the default android browser) to see where do the downloads are saved, but I couldn't find any refference to the downloads.

Where do the ".exe" files downloaded, are saved?
Android apps are not .exe files - they are .apk files, which are effectively Java .jar files with additional included information.

The packages are installed in one of a few locations:


/system/app - for system installed apps - you can't modify this folder.
/data/app - any apps installed from the market are installed into here, and you as a user can modify the folder.
/sdcard/.android_secure - apps that are moved to the SD card are stored here


Note that apps will also put data in a number of locations, and not all of these are on the SD card, even if the app itself is installed on the SD card; this is likely your problem with the app on your device, and unfortunately - without rooting the device and using something like a2sd which enables you to move other partitions onto the SD card.

For reference, also see this question on StackOverflow which has more info.