Here's some previous posts on the topic:

(1) How to move downloads to new location

(2) See How to Change download location (click on link)

Warning: You will need to 'manually' move the already downloaded files over to the new location. This will also apply to 'most' incomplete files. (Should be done whilst LW is closed however. Don't move the incomplete files across until you have changed location in LW then close the program.)

Of course to access your present files & in their location: 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. This also applies to the incomplete folder.