Your downloads are saved to your computer. By default, the saved folder location for Windows is C:\Documents and Settings\your name\Shared.

Unless you've changed the location of your saved folder, that's where your downloads should be

To check the location of your saved folder, in LW go tools > options > saving...that will show you the location of your saved folder. If you can't find the files there, use your computer's search to look for some of the file names.