I Have Windows Millenium Does That Matter?

right click the file and click on view on disk and that takes you to it

Back in 2007 they were using LW 4, so there was no right click > locate on disk option ;)
LW 4 users could find the file by following LOTR's advice in posts #16 & #19.

For LW 5, Previewing files still creates Preview files in the incomplete folder. So as before, one work around is to open directly from the incomplete folder. Right-click on the incomplete file in Downloads window, choose Find File Info..., from information window choose Locate on Disk. When the incomplete folder opens, open the file from there. This will prevent Preview files being created which may take up a lot of extra space on your computer if they are all left in there. This obviously means a couple extra steps than LW 4.

For LW 4, simply click on incomplete folder listing at bottom of Library window, find the file in question & select it, press Launch button.

For examples of both LW 4 & 5, see Launching incomplete files without creating Preview files