On my computer there is a folder in Documents with the title "My Kindle Content." Files download there when I send books to Kindle to pc. Might try looking to see if there is a similar folder there on your computer.
Edit: I tried an experiment and the book I downloaded from my MYK page downloaded to the folder that I had chosen as my folder to download to. If you have set a particular folder as the place to download files to and just choose save and click on 'ok' in the save to computer popup you should find your books in the folder that you have designated for downloads to go to. Hope this is of some help.