If you can’t find a downloaded file in the usual place, try to download again and you’ll see the location under the “Save in” field. Most browsers remember where your most recent download was saved. Hit “Cancel” once you know the location. In Firefox, all you need to do to find your recent download is go to Tools>Downloads (also accessible by pressing Ctrl+J) and right-click on the download in question and choose “Open Containing Folder”.
It looks just like that picture up there!
~Andrew
