Did this actually happen whilst LW was open & you were downlding? If yes, when did you notice & what happened exactly?

It sounds more likely to me like you've opened LW & you found your LW options had changed. Is there a chance someone may have tampered with your LW settings or deleted your LW preferences whilst you were away from the computer?

The way to find them would be to use your computer search engine; Start menu >Search files & folders & type in Shared or whatever your downld folder was called. Then after locating it, make a note of the directory location. Then open LW, go to LW's menu bar, Tools>Options>Saving & change the location to the exact location you had before or that you found the Shared folder in.