By default they normally go here C:\Documents and Settings\"your account name"\Shared
Unless you selected a different location. You can check by going to LW's menu bar, Tools>Options>Saving.

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.