Below are some links to help you find the files you have downloaded:
This information applies to Windows Internet Explorer 7 and Windows Internet Explorer 8.
http://windows.microsoft.com/en-us/windows-vista/find-a-file-you-have-downloaded
Downloading files from the Internet: frequently asked questions: (Windows 7)
http://windows.microsoft.com/en-us/windows/downloading-files-internet-faq#1TC=windows-7
Downloading files from the Internet: frequently asked questions: (Windows Vista)
http://windows.microsoft.com/en-us/windows/downloading-files-internet-faq#1TC=windows-vista