if you're sure that you actually downloaded something, but it's not where you think it should be, use the file search feature on your computer to search for the filename of what you're looking for. (or if you're not sure of filename, just have it search for something generic like ".mp3" that will find all mp3 files on your hard drive.

probably what happened is you upgraded to a newer version or something, and the preferences for download folder were changed.

either that, or the downloads never quite completed, and what you did get is still in the incomplete folder.