Saved Folder = Shared Folder
Saved folder is just a reference LW uses in the Library window so people can quickly see what they've downlded.
Normally the default downld location is: C:\Documents and Settings\"your account name"\Shared

Now if your files are not going there, then go to LW's menu Tools>Options>Saving & press the default button & apply button. Then all files will go there instead. It sounds like yours is set to downld to the actual LW program folder. Not a good choice.

To find your previous downlds, use your operating search engine & search for .mp3