I can search for music and everything but when I tried to find the music I downloaded Its no where to be found What do I do? Im on the mac version also if that helps

Downloaded files are usually sent to the "My_Files" folder that is in the same folder as the "MacPhex" application.
In MacPhex, you can check where the files are downloaded : from the "Setting" menu, choose "Phex Options", then "Directories". The path to your download folder will be shown under the label "Incomplete Directory".