I can't remember exactly where the default download location is for Windows 7 using Internet Explorer.
I believe it is a folder named downloads at the root of the operating system.
Try this. Click on the Start orb (bottom left), and at the bottom left where it says "Search programs and files" and copy / paste the bold text in and hit enter.
Can you now see your downloaded file?
If you used anything other than Internet Explorer to download the file... i.e Firefox, or a torrent client, they have their own default download location. In this case you will need to search your system for the file. Can you remember the name of the file you downloaded?