this is related with settings of used Internet browser. What browser are you using?
- menu Tools -> Options -> General tab -> option "Save files to"
- menu "Customise and control Google Chrome" (symbol wrench) -> Options -> Under the Bonnet -> section "Downloads" -> option "Download location"
Have you checked this folder "My Documents\Downloads" (if exists)?
I have XP SP3, and I'm trying to download AVG free 9. When I click download I get a box that allows me to save, but it doesn't allow me to specify the save location. After it downloads, it's not in My Documents or in My Downloads. Can you help me find it?