You can either click (select) on the Saved Files folder, else the Shared folder, else select one of the files inside one of those folders & then press Explore button. The folder on your computer should open up for you on the desktop, but might be hidden by the LW program.

But after clicking the Saved or Shared folder in the Library window, you see the files inside to the right side right? BTW the files might not show inside Shared if they are not being shared. I'm not sure about that.