Shared is the default name given to the downld folder. It is where your downlds will go after they have finished downlding. By default this folder is also shared.

Saved Files folder is almost the same as the Shared folder. It reflects what files you have downlded recently. There is no folder called saved files on your computer. It is simply a reference folder for your downlds. Not everybody shares their downld folder which would mean it wouldn't show in the Library window. Thus, Saved Files folder will still be listed in the Library window in any case even if Shared isn't.

The default location for your LW downlds is C:\Documents and Settings\"your account name"\Shared

You can change this as Larrybriggs1 suggested you can.