I think that a lot of the problems people are having with OS X downloads disappearing have to do with the name of the file. If a file starts with a period in OS X, it is a INVISIBLE FILE. If you want to see it, switch to OS 9 and you should see the files in what ever folder (Usually Macintosh HD:USERS:<USER NAME>:SHARED or Macintosh HD:USERS:<USER NAME>:IMCOMPLETE.)