By default your downlds are saved here (unless you changed it): C:\Documents and Settings\"your account name"\Shared
Go to your C:\Documents and Settings\"your account name"\ & create a short-cut for Shared & send it to desktop.

Another way to access it: 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.