If they haven't finished downlding then the partially downloaded files will be located in the incomplete folder. Go to Library window & click on incomplete folder.

BTW did you follow my instructions to use the explore button? Because that will show you where your completed files go after they are fully downlded. LW moves them from the incomplete folder to the download folder (usually called Shared by default) a few seconds after they 100% finish downlding.

My guess is you haven't even finished downlding them.