It depends on how you set the file to be saved. You may have saved it to the temp files rather than where you wanted it downloaded. So there are two things to do here. One, make sure it gets downloaded to the right place and make sure you don't have two copies.
First check the browsers settings for what folder it is downloading to. Then check that folder for the file. If not there, that is fine, at least now you know what folder they are going to.
Next redownload the file. NOTE: Make sure the file is set to save to the computer, and the folder you located in settings, should you get any prompts asking.
Yes, I know a search of the computer seems like a more logical option to start with, however since (I am assuming here) you probably...