Hahaha xcuse me, it's a bit of a worry eh! Your files are on your hdd I assure you. To know where they are, go to LW's menu Tools-Options & Saving. This will tell u the name, location & path of your dwnlded files. A suggestion is to make a shortcut to this folder & put it somewhere easy & quick to find such as your desktop/Explorer.
The only files that show up in the LW Library window are those that are incomplete or are being shared. If you wish to share your LW dwnld folder, go to LW's menu Tools-Options & Sharing. Press the Add button & direct LW to where the folder is (as above) or type in the path as you found out earlier. Now press Apply & OK buttons. Then go to your LW Lib window & press the Refresh button. You will then see the LW dwnld folder listed along with your other shared folders on the top left.