It is possible that anti-virus software is corrupting downloaded files or is otherwise interfering with downloading files.

Try to disable the real-time (live) scanning of files in your anti-virus software temporarily to see if that makes downloading work.

See:

• http://kb.mozillazine.org/Unable_to_save_or_download_files
• browser.download.manager.scanWhenDone

Make sure that you are looking in the right directory. Check the settings on your down loader. Are you using any kind of re-direct downloads program. As to finding your files; Open your computers file manager program. Go to the top directory of the drive your downloads should be on. Set your programs search options to scan sub- directories and hidden directories and so on. Starting from the home directory __C:\__D:\__ or whatever, enter in the search window the file name of the last download you did. Wait for the search to end. The search may take a while. When the search is done then look carefully thru the list. If you can, have the list sorted by name.