The folder is called "incomplete". Once the files reach 100% downlded, LW will then move them to your downld folder which by default is usually called "Shared". The incomplete folder is always in the same directory as your Shared folder. Never to to manually move either folder. If you do it'll cause all sorts of problems.

By the way, never move or touch the files called "download.dat or bak" in the incomplete folder. These contain all the information about how far your incomplete files have progressed. Without these download prefs your incomplete files are useless.