After it is downloaded go to "search programs and files" (from start button) to see where it has put it.
My guess is it is saving it elsewhere for some reason.
I'm still getting used to Win7 on my new laptop after moving from my trusty, reliable, robust XP system and not used to the 'Library' structure yet so had to find files as above.....
Just done a complete rebuild after persistent 'hangs' and crashes during start up, which seems to have solved my problems.
Just for interest Adobe reader X seems to have been possibly the cause or slightly less suspected is my Nero install, but I don't really know at the moment!