If I understand right, what you are trying to do is going to the Tools->Options->Saving, then typing/clicking stuff there?
If I'm right, then don't.
If you followed the directions in my last post then you should have no problem locating the Folder the downloads are stored in.
If, on the other hand, you still can't find the downloads, then try doing a search in your computer (with the Search file function in the Start menu, of course, not manual...) for, say, one of the programs you are trying to open (dlded via LW). Make sure that you use words that would not be too common or you'll end up with too many results.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-