Have you just been looking for it on the phone, via the phone? Or have you tried connecting to a computer, via USB, and looking for it from the computer?
The latter is a better option, as you can search much easier. You would need to know the name of the file, or the file type (the extension) to locate it. You can plug the phone into the computer, through USB, and then when it gives you the option to open a folder, do so. Then just use the search option within that window. Type the name of the file, or type *.XXX where XXX is the file extension. An example would be *.mp4 or *.avi. but it will depend on the downloaded files extension.