Go to LW's library. Click on Saved Files, then click Explore...your saved folder should open & it should contain the files you've downloaded.

Maybe you've changed the location of your saved & shared files? In LW, tools > options > saving will show you the location of your saved folder.
Tools > options > sharing will show you the location of folders you're sharing.
You can change the location of saved/shared folders from within those options pages.

You said you did a search...was that using your computer's search?