Not all downloads are automatically saved unless you set things up in varied ways. First you download, then when the download has finished you open the file and save it to the location that you want. if it is a pdf you right click on the mouse and then choose the option "save as" . That way, you should find them again. If you find it difficult to find stuff within the file, type the relevant words in the search box at the top RH corner of your screen and the computer will search for you.
If you have not saved your downloads, go to the downloads folder of your computer or to the folder within your downloader program, open it there and save it to a common location.