Can you see the filename when the download starts? Try searching for that. For me using IE 7, I get a "save file" dialog so I can put the file where I want it. You could also try looking around in "my documents" and also "C:\Documents and Settings" because in there you should find a "C:\Documents and Settings\{your username}\Local Settings\Temp" directory. Alternatively, "C:\Documents and Settings\username\Local Settings\Temporary Internet Files"
Sorry I can't be more help, those are all IE7/Windows XP specific.
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