When you download them they go onto your HDD. They should still be there. Start LW and click on the library tab. Your files should be in there. To find the folder they're in, click on "shared folder" then click the explore button(below the library folders window).

The default location for your shared folder is C:\Documents and Settings\"your account name"\Shared.

Your probably looking in the search section of LW in the downloads window, and when you shut LW down it clears the downloads window, but the files are still in your shared folder.

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