If you've installed the addon correctly, you do not need to do anything with CKeditor.
Make sure you've copied these folders:
Wygwam3.3.3/themes/third_party
-> copy to
your-web-root/themes/third_party
Wygwam3.3.3/ee2/third_party/
-> copy to
your-web-root/system/expressionengine/third_party
and then make sure you install the addon through the Add-ons -> Modules page in the back end. IF you're looking to use CKeditor separately from EE, you can find the copy that comes with Wygwam in this folder (from the installation folder):
Wygwam3.3.3/themes/third_party/wygwam/lib/ckeditor
But it might be a modified fork of CKeditor (probably is) for use with Wygwam, so if you need to use it separatly, I would recommend downloading it separately.