Simple answer is Anywhere.
Add the path for where you put the driver by command line:
set PATH=%PATH%;C:\WHERE_I_PUT_THEDRIVER\
Or
In Your Control Panel -> All Control Panel Items -> System -> Advanced System Setting -> Advanced -> Environment Variable -> System Variable -> [Choose] Path -> [Click] Edit
So when you import it.
from selenium import webdriver
wd = webdriver.Chrome()
Or, if you prefer not to add new path,
from selenium import webdriver
__location__ = os.path.realpath(os.path.join(os.getcwd(), os.path.dirname(__file__)))
#__location__ is current file location
driver_loca = os.path.join(__location__, 'bin/chromedriver.exe')
wd = webdriver.Chrome(executable_path= driver_loca)