Unless you chose Save as or download to option by right clicking the file & choosing location, they should go to your allocated download folder. Check this by going to LW's menu bar, Tools > Options > Saving & it will show the directory. To check on computer you can either do a computer search for .mp3 or do this: 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.

The files might not be shared so may be found in the Individually shared folder. So you can check that folder, Saved files folder & Shared or whatever you chose to name your download folder.