Well for me, it's at the same directory level as my Shared folder. eg: C:\Documents and Settings\LOTR\Incomplete
Likewise the default downld location is:
C:\Documents and Settings\"your account name"\Shared
Use your comp search engine to find it ... type in incomplete & search the entire comp.
BTW the desktop is a terrible place to downld to. Instead create a shortcut to it & put that on the dewsktop. Else go to LW's Library window & select Saved Files & press Explore button & this will open it for you.
If you have logged in to a different account that might explain why you can't see your incomplete folder.