If your downloaded & shared files are NOT in your program folder then fine. Usually by default your downloads go here C:\Documents and Settings\"your account name"\Shared

So it's your LW preferences which tell LW where the downloads are to go to.

To double-check, 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. Check the location.
In fact you can just hover your cursor over your Saved Files in the library window & a tag window will display where they are being stored.