Find which media? Your shared files or your downloaded files? Your Operating Search engine should help you find shared material. Personally I use iTunes & share many of its Music library folders so I know exactly what's being shared & if I choose to play some of them. eg: Albumwrap/iTunes & also iTunes shared library

For downlds go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link)