I'm having trouble finding the default folder where my downloaded files are supposedly being saved. I selected the folder presented in the Options--> Saving screen, but can't seem to locate it anywhere on my computer! Does anyone know what to do?

LW's preferences -> Transfers, and it is the option at top of that window which shows the directory location.

To actually open up the folder in finder, go to Library, Control click on any file you have downloaded & choose Locate on Disk.