Once it has 100% downlded you can find it in your LW downld folder. 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) & the folder will open up for you. Then you can move it to wherever you desire by cut or copy & paste or drag & drop. By default, your downlds are saved here for windows: C:\Documents and Settings\"your account name"\Shared