I'd look at your downloads link in Firefox (I'm using v32 for Windows 7, and in this version it's a little arrow on the top/right of the window) and see if they did indeed download. If it appears there, you can click the little folder on the right to open the containing folder.
I just used Firefox to download a couple of Amazon books onto my iMac . It dropped them on the desktop, and it took me forever to locate them. I couldn't find the title in a search of the drive, which was weird.
I always use Chrome (on my iMac) for my Amazon downloads, and have never had an issue.
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