What do you mean library? I was refering to the LW Library window. This window lists your shared folder(s) & download folder & incomplete folder.
In regards to your downloads, 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. You can do the same with the other folders also.

If you've just added new files or folders to share, you need to click on the Refresh button in the Library window before LW will re-count its shared files. As for new downloads, there's a setting in your options to share downloads immediately.