Open LW and go to Tools>Options>Saving, and it'll show where your files are being saved to. The default location is C:\Documents and Settings\"your account name"\Shared.
If you still can't find them, try searching your hdd for the files. From your desktop go to Start>Search>"All Files and Folders".
If your using Vista try wondering why's advice here:
http://www.gnutellaforums.com/genera...tml#post279522