When your files are initially downlded they are in your Saved Files folder. Next time you may find they've been moved to your Shared folder. I'm a bit vague about that .. it's a bit confusing. But they're basically the same thing. By the way, select the Saved Files folder in the Library window & press Explore. This is where they can be found immediately. These files won't be shared until LW re-accounts for all its shared files (which might be next time you re-open LW.) So then you'd find them in your Shared folder. You can force LW to recount all its shared files by pressing the Refresh button.

Failing everything, you can search mp3 on your computer to find them.