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Can I download the whole block chain from somewhere?

My Bitcoin client has been "synchronizing" for a really ridiculously long time making the computer leggy. According to this article I can download a pre-synchronized block chain from here. What do I do after I download bootstrap.dat?

Seriously it says "Version 0.7.1 (when released) will automatically validate and import a file in the data directory" but where the hell's the data directory?