On Samsung device (Android in general I guess)
In folder Device/Whatsapp/Media - You will find folders for Audio, documents,images,photos,videos and notes
For WhatsApp on Windows PC connected to your mobile device: click on the audio/video and it will start playing in a new window. While playing in this new window, you should get a download symbol (downward arrow standing on a short line) on the right upper corner. Click this symbol and it will ask you for a place to save the file.
All the best.