The default location is here C:\Documents and Settings\"your account name"\Shared

However you may have changed that. Or you may wish to change it. You can also separate downloads into separate media type folders. See How to Change download location (click on link)

If it's a simple case of not being sure how to find your audio downloads, then see 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. If you hold your cursor over the audio folder in the Library window, it will show you the directory location.