Christians believe that the Holy Spirit lives with people here on earth. They believe that wherever they are, whatever they are doing the Holy Spirit is with them. A bit like the wind people cannot see the Holy Spirit, but Christians believe He is with people, everyday, everywhere.
The Bible teaches that the Holy Spirit came to be with people over 2000 year ago. The Bible tells us that when Jesus went up to Heaven the Holy Spirit came down to earth to live with people in a new way.
In the Bible we read about Jesus going back up to Heaven. Christians call this Jesus' ascension. Christians call the day the Holy Spirit came down from Heaven the Day of Pentecost. The Day of Pentecost took place ten days after Jesus' ascension, this is why Christians say… when Jesus went up the Holy Spirit came down.