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.
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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.