Have a look at your LW Preferences. First you will find 'Save' which will tell you where your files are being saved to. You can change the location here. Choose a location that's easy for you to locate outside of LW. Next, in Prefs is 'Sharing', & you can choose which folders to share from here.
You can browse what's in your shared folders in your Library window. If your dwnld folder is a shared folder you can see what's been dwnlded by selecting it.