I downloaded a WR replay to watch, however I'm not sure where to put it in the Program Folder. Usually there's a friendly looking folder named replays, but I cannot see anything like that.

I have used the search feature.

Put it in the data/spr folder.

SPR = single player replay

Thanks, seems so obvious now.

You may occasionally also get a Multiplayer replay which, fairly obviously, goes in the 'mpr' folder.