Read the manual of the device. If you didn't get a hard copy then check the disk it came with or the support files on the computer. Else google the model & put manual at the end of the name.

By default your downlds are saved here C:\Documents and Settings\"your account name"\Shared
Unless you chose somewhere else or renamed the folder. You can also find your downlds by going 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.

Go to LW's menu bar, Tools>Options>Saving & this will tell you the save location of your downld folder.