Hi dr lee
Usually LW has at least two folders (Shared and Incomplete) for files, but the user can set many more.
The Explore button in the Library Pane will open the listed folder so you can see the files. You can also use your OS's Find or Explorer feature to search your hard drive for the name of a recent download.

What OS are you using? I'm only famiiar with Macs.

btw--I've heard that is very risky opening an unscanned Windows .exe file, so it's a very good thing that LW didn't launch it.