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.
Make a note of that folder & its location. Actually if you hover your mouse over the Saved Folder in the LW Library window, it will show a window displaying the location of the folder. For definite, go to LW's menu bar, select Tools -> Options -> Saving & this will show the location of your download folder.
Are you sure the file was 100% downloaded? Is it in your incomplete folder or saved files folder. You can use the Explore button on each of those folders to check.
If you want to know about changing location of download folder, or having separate download folders for media type, & all other complicated issues such as that, see 1. See
How to Change download location (click on link), 2. See
How to Change download location (click on link) (specific for folders), 3.
How to move downloads to new location