Do you mean files you're downlding or files you wish to share?

Files you downld will go to the Saved Files folder & Shared folder in your Library window. For quick access to them, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.

To share files, see How to Share Folders (click on link)