Try Ubuntu - Where does it store my files?

I am wondering, when you select the option of just "Try Ubuntu" instead of installing, where does Ubuntu store the files that you download / copy / save?

I right click in the Home folder, and it specified I had 4GB free space. Where did it get this 4GB space from, and if I transition to another OS system, how can I access or delete all the previous data from the session of "Try Ubuntu"?

Thank you!

Nowhere.

Files are stored on memory and will be deleted when you restart your computer.

If you are using an Live USB, instead of a LiveCD-DVD, when you create it there is an option to make a "persistent" drive. If you check it, your files will be saved to the USB memory.