On your desktop click on Start, then click on my computer, then double click "local disk (C) then double click Documents and Settings,then doublle click "your user name(rosie-sam), then double click "shared".
And all your shared files should be there.
Maybe this link will help:
Burning a audio CD from your MP3's
If you still can"t find them do a search on you pc. On your desktop click on start>search>files and folders, and search for a file you know you downloaded.