Go to tools >options > saving & make sure you have the right folder entered as your destination for downloads. If you need to change it, make sure to press apply to save the change. In your library, click on Saved Files & then Explore. This will open up your saved folder. Are they there?

You can try deleting your preferences folder, there are instructions here
http://www.gnutellaforums.com/showth...threadid=36420

Otherwise, do a search of your computer. Just look for one of the file names.

The only time files should vanish is if you delete them