There is a page that Google has that should help you resolve this. You can find it at...
https://support.google.com/googleplay/answer/1250232?hl=en
Also, last I knew, music is usually downloaded to your SD card. It should be in a folder at the follow....
Android-->data-->com.google.android.music-->cache-->music
If you cannot find it through your phone directly, you can connect it to a computer via USB and locate the files that way.