After downloading completes, there's no files

Hello, every time i try to download something, it finishes, and i get the "finished downloading" message, but when i look for the downloaded file, there is nothing, is it my browser? using windows xp media center edition.
the files i'm trying to download are java, winamp, and puzzle pirates client(internet rpg game) and they all do the same thing, i'm sure if i tried to download anything else it would do exactly the same thing.