Your downloaded files are usually in a different folder to LW. You don't even say what OS you're using (thanks) so here goes for Windows...if you're using Mac or Linux good luck.

By default the saved folder is C:\Documents and Settings\your username\Shared.

In LW tools > options > saving will show you the location of your saved folder.

What you can do is make a shortcut from your saved folder to your desktop. That way, you don't have to have LW open to access your files. To create a shortcut, go to LW's library. Click on Saved files then click Explore. The saved folder will open. Click on Folders (up the top). On the left side of the page you'll see the folder highlighted. Right click on it > send to > desktop.

Now you should have the shortcut there on your desktop.

What happens when you try to download movies? Please give some info, we can't guess.