I found them in the "Incomplete" folder.

It stands to reason that Limey was putting them somewhere or it would have complained about it before or during download. Not just throw them off into the ether.

In windows XP: Start
Help and Support
Performance and Maintenance
Freeing up disc space.
Freeing space on your hard disc.
Disc Cleanup
Wait for Windows to calculate space to be saved.
I allow it to do everything recommended but you can pick and choose.

Then: From the same "Using Disc Cleanup" window choose
Maintaining your Computer choose Defragmenting.... and do it.

Maybe someone here can give you a shorter path.