Plug-in the canon to the PC, follow the steps, and in the last step before you click the OK to transfer the pictures, it should say where the fold you want to transfer to. Then you can find the pictures and the fold.
Search your PC partition by partition carefully, technically it should be found back. But if the pictures still won't show up, it may be the problem of data loss during data transformation, then you will need a software to find them. Here is a link: http/www.softpedia.com/get/System/Back-Up-and-Recovery/iCare-Data-Recovery-Software.shtml It is a powerful tool for data recovery caused by many reasons including similar situation you met. Launch the software and let it scan your PC to find out the pictures you are looking for. You can preview them before recovery.
when I transfer photos to my computer I do a drag and drop to the desktop, so I dont haver to look for them, then when I'm done with them (edited, converted to JPEG) I move them to my storage drive labelled for what (band, urban, nature exc)