In LW tools > options > saving. That will show you the location of your saved folder... that's where your downloads go. The default location is C:\Do****ents and Settings\your name\Shared but if you want to change the location, you can do so at any time

Files in red aren't being shared, files in black are being shared. To share a file right click on it > share file. If it doesn't appear black straight away then try refreshing the page or restarting LW.

If you're downloading files & they're disappearing, try doing a search with your computer for the file name.

Excuse the stupid edit, that's insane. After C:\ comes Do_cu_ments and Settings (ignore the underscore!!)