how to get this file to work? (another newbie question)

[ocelot1970]

Everyone was so helpful for my last question!

Here is another: I found a file keywiz.el, at this location:
http://whome.phys.au.dk/~harder/

What the file is is a game where the player tries to guess the right
key-binding.

What I want to know is just how to make it work. The instructions for
the file say to press M-x and then keywiz. When I do that what happens
is I get a '[no match]' error.

The problem is, I don't know where to store this file to make this
work. I tried my home folder, and also  the "play" folder within "usr."
They don't work and this is probably a really basis question, but where
do I put files like this I get from external sources?