Directory macros/latex2e/contrib/fancybox

Save the file fancybox.sty in a directory, which is part of your 
local TeX tree. 
Then do not forget to run texhash to update this tree.
For more information  see the documentation of your LATEX distribution 
on installing packages into your LATEX distribution or the 
TeX Frequently Asked Questions:
(http://www.tex.ac.uk/cgi-bin/texfaq2html?label=instpackages).