You don't need to save things...they're saved as they're downloaded. In LW go tools > options > saving. That shows you the location of the file where your downloads are saved. By default it's C:\Documents and Settings\your name\Shared.

Unless you've accidentally deleted files from your library, they should be around somewhere. In the menu to the left of your library, click on Saved Files...see if they show up.

Or use your computer's search to look for some of the file names...are they there?