Tools>Options>Saving. If you change the location of the download folder, then LW will create a new incomplete folder in the new location. On windows it might be a level up in the directory in comparison to the downld folder location. One way to be sure is search incomplete on your computer on "all" drives. Also, try downlding a new file & see where the new incomplete file goes.

BTW you should normally not manually change the location of the incomplete folder by dragging it elsewhere, etc.

BTW these links may or may not be helpful: See How to Change download location (click on link) (specific for folders)

How to move downloads to new location