I have just completed a download. I am now in the library and I checked all folders and it's nowhere to be found. Where is it?

tools > options
saving is top of left colum
look at default location
use windows explorer to go to default location.... viola

or you inadvertantly downloaded a file that your machine considers a "hidden file type" in that case in your windows explorer go to tools > folder options > view (tab) > check on "show hidden files and folders"

that should fix ya up.