Your LW downloads are saved to your HDD. By default, the Windows location is C:\Documents and Settings\your username\Shared. If you hadn't changed the location for saving, that's where your files should be.

So check within LW in tools > options > saving.

Also check in tools > options > sharing, just in case you have/had changed locations & you're just not sharing the folder that you once were.

Use your computer's search to look for some of the file names

If you've somehow accidentally deleted files (it happens), this might help.
Deleting files from LW library - Don't!! File recovery advice