You should be able to stick it in the same directory as Concrete and have it work. For example, if your site is installed to /public_html/mysite/ ... put it there.
However, this only works for Apache servers. If you are using IIS on a Windows server than you will need to set up a URL rewrite solution. If it is an older version of IIS you can by third-party software which supports it. If you have IIS 7.0 then Microsoft has a free URL Rewrite add-on that's available for download.
However, this only works for Apache servers. If you are using IIS on a Windows server than you will need to set up a URL rewrite solution. If it is an older version of IIS you can by third-party software which supports it. If you have IIS 7.0 then Microsoft has a free URL Rewrite add-on that's available for download.