Does anyone know because i want to keep my world and have a cool custom downloaded build inside that world without having to actually build it.
If you don't want to move that custom map into the saves in .minecraft to make a separate map, you can use the MCEdit feature called schematics. You can load a world, make a selection and choose to export as schematic (Will have the icon of a crane on the navbar). You can then load your world, import the schematic, and drag & drop the selection to your world.
Be sure to save, as I always tend to forget ;)