Click on the Saved Files folder in the LW Library window & you'll find it there. If not, press the refresh button & wait for LW to update its database. If you still can't see it, then you haven't finished downlding it yet.
I'm not sure how long it takes but the file will eventually also be seen in the Shared folder.
For fast & easy access, 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.