OS9 & earlier was one thing but I don't think it's necessarily a great idea to dwnld it to the desktop.
2. How are you looking for it. Don't tell me you're opening Go To Computer. Because it definitely won't show up there. Not unless it's a mounted disk image or hdd/partition. You're doing a search through partitions & hard DD's yet none of those are catered for in the search function the way you have it set up correct? Hide all your windows or close them all & have another look manually.

If necessary click on the desktop icon at the top left of column in one of your windows View your desktop in List mode & you'll know one way or another.