Your finished downloads should not go to your incomplete folder. On a Mac check your LW Prefs & see the 1st option of 'Saving'/on pc Windows: Tools->Options and then go to saving. The path indicated there is where the files are being stored in your PC. From there use Explorer/Find to find exactly where on your Hard disk drive this is. If you have chosen to share your dwnld folder, you will find it in your Library window under whatever it's name is. Click on it's name (on top LH corner of LW's Lib window) & it will show you what files have been dwnlded to it. You can change your dwnld folder (safer if there's nothing presently dwnlding), to somewhere you can find it easily (you might want to leave a link/alias to the folder for easy access; put the folder somewhere within explorer so you can access it easily & quickly.) Follow ursula's instructions to find/create any shared folders.
If you still have any problems, do a search . There's a no of threads discussing this issue for both pc & mac! (whoops there's something wrong there, back to the text books I guess!)