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

To check, go to LW's library window & hover your cursor over the Shared folder or Saved files folder. A small windows will appear which will show directory location.
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.