Hi, I've been having the exact same problem as you: the files seem to be
downloading but you cannot find them once they're completed. I know how
frustrating it is. The truth is there is no real way to fix it. Your only
chioce is to install Mozilla Firefox and use it instead. When you download
files using it the files are where you saved it to, no problems. The trouble
is you have no way to dowload Firefox

You will need to use another
computer (a friend or family members) to download Firefox. Once you've done
this put the installation file onto a CD or USB key and copy it to your own
PC. Then install it! It works fine. I know how frustrated you must be, I was
the same lol. I had to bring my laptop to PC World and they told me it's a
problem with Vista and Internet Explorer 7. I wasn't even entitled to a
refund because there is no actual problem with the product. They told me the
problem might be fixed in future updates! I hope this helps you, Good Luck!!
You can get firefox here:
http://www.mozilla.com/en-US/firefox/