All right.
For example, let's say your save folder (where the files should be), is located in c:\download\save.
You incomplete directory is c:\download\incomplete (one level under the save folder),
example 2:
complete: e:\files\completefiles\
incomplete: e:\files\incomplete

Now, go to the incomplete folder.
You should see there some files.
One of them is download.dat, that saves the status of your downloads (DON'T DELETE IT), and all the other are the files you've been trying to download.
Now, lets say that the file you were trying to download is:

file1.txt, and it's size is 40000 bytes.
In the incomplete folder, you should see it in this form:

T-40000-file1.txt
Now copy that file anywhere you want.

That's it.