Go to LW's menu bar, Tools>Options>Saving & see where it is set to save. If it is your desktop then that's why the incomplete folder appears there. A poor idea to save to the desktop IMHO. It can cause security risks & also demolition of your user-account via virus, etc.

The normal default location to save your downlds is C:\Documents and Settings\"your account name"\Shared
If you want quick & fast access then: 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.