Hi mmmarie,
m3u are playlist files. They don't contain music, they're just documents with pointers to where your music is. By default your downloads go to C:\Documents and Settings\your name\Shared. If you can't find them there, go into your library, click on Saved & press explore.

You can always use the search (top right, between faq and home) to find out info like this

**Hats off to LOTR for the explanation of m3u. It's his, I just paraphrased it here!