Hi,
Usually the place where you download the Maxscript will have a clue telling the user where the script will populate after running it, more often than not this will be in the 'Customise User Interface' Dialogue box, usually under a new entry in the toolbar tabs 'Category' dropdown list:

Sometimes it might take a while scrolling down the list to spot the new entry, that is if you are used to seeing what listings are already there, which you might not yet be unfortunately.
If you do spot the new 'Category', click on it, and you will see the script name in the subject field in the 'Action' portion of the window. From here it can be dragged and dropped onto an existing toolbar or a new toolbar that you have made yourself. It will stay populated as a new GUI item the next time you restart 3DSMax (just so long as you don't accidentially crash out of 3DSMax before it gets a chance to save the GUI which it will do so upon normal program exit).
In a case where there is no mention that you can see of where the new script should reside in the dropdown list, you can try to open the MS file with Notepad. This way you can read the top few lines of code for clues as to where it is populating:

Although this won't work with MSE files, MSE files are Encrypted versions of MS files. This encryption is usually done for 'Commercial' MaxScripts, so as people can't read the code inside the file and perhaps plagiarise it. So opening up an MSE with Notepad will just show garbled content. In this case, make sure to re-check the websites page where you downloaded it from.
The nicest, easiest form of Maxscript container files are MZP files, which are a Zip of all the nessesary installation components for the MS file. Dragging an MZP file from Windows Explorer directly into the 3DSMax scene window will usually launch an installation Dialogue box, and in some cases might even make the new button or Toolbar for you.
Regards,
Darawork
AutoDesk User
Windows 10/11, 3DS Max 2022/24, Revit 2022, AutoCad 2024, Dell Precision 5810/20, ASUS DIY, nVidia Quadro P5000/RTX 5000/GTX760