Same thing. Hover your cursor over the Saved Files listing in the LW Library & it will show where your files are downloaded to. Also you can check by going to LW's menu bar, Tools>Options>Saving. By default, on windows xp the download folder is C:\Documents and Settings\"your account name"\Shared unless you set it for somewhere else.

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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