Program folder is one of the worst places you can choose to use as your download folder. Reason? If you update your LW program, it will remove all files from that folder during the uninstall/reinstallation process as it installs over that folder thus deleting it. So, go to your LW menu bar, Tools > Options > Saving & choose the Browse button to look for a new location. The default location is usually C:\Documents and Settings\"your account name"\Shared.

Normally the easiest way to access your downloaded files is to go to your LW Library window, click on Saved Files, then press the Resume button. For fast & easy access, 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.