To see your "Temporary Folder" in IE, try Tool/Internet Options/Browsing History/Settings/View Files. See here for more info -
http://screencast.com/t/6NymyA97.
Having done that, however, I went & tried it with the free .LIT from Fictionwise & found that if you do downloading it with IE, it doesn't end up there at all (nor, as you say, do you get a chance to do a "Save As"!) Instead, Windows/IE moves it to your "My Documents/My Library" folder as Simon said earlier. Try downloading it a few times & check for files of the same size/similar names in there.