By default your downloads are normally saved here: C:\Documents and Settings\"your account name"\Shared

So use that as your reference. Another way of getting to your downlds is: 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 may need to read the manual of your player to help solve your problem.