By default your downlds should be saved here C:\Documents and Settings\"your account name"\Shared
You can check by going to LW's menu bar, Tools>Options>Saving. That will tell you the location.

I hope you didn't use the program folder to save into before. If you did then your downlds might have been installed over the top of; deleted.

Why not use the search function of your computer to search for files you had. If it was music, then search .mp3