Have you looked in your Downloads Folder?
Path - Start Menu > <YourUsername> > Downloads (Folder)
Normally that's where it goes on Vista, compared to XP when download files are placed on your Desktop unless specified by you when you start the download.
Bit of a pain but Microsoft did it to basically speed up the Boot Time because the downloaded files wouldn't be clogging up your Desktop, Simply create a shortcut to the Downloads Folder if you want to get at it quicker, That's what I did
Edited by woodyblade, 07 March 2009 - 02:25 PM.