Does last download location mean, if you download something and then run cleaner it removes the file you downloaded?

Just curious.

No Just the history trail. In other words no one else who uses the PC will be able to see where your last download was from

how can i get rid of the file last downloaded using ccleaner?

Is there a problem with the file you downloaded?
You could use the custom files and folders in options, However you must have advanced..custom files and folders ticked to do this, but it would probably be quicker just to delete it yourself if it's a one off.
Unless you are worried about anyone finding out about it ?

CCleaner doesn't download files for you, it deletes miscellanious files on you computer that you don't need. CCleaner doesn't deleted your last downloaded file either - you have to do that manually, since CCleaner doesn't mark that as 'junk' (it's a manually downloaded file anyway).