All the files are already downloaded in order for you to view them on your computer. but they get stored in the area on your hard drive reserved by the brower as a "workspace".
an easy way to find the files is to use Internet Explorer to view the file(s). then go to the top where the drop down menu lists appear and select "Tools", "Internet Options". then select the General tab. Go to Browsing History, click Settings, then select "VIew Files". You can sort by size (the video files are usually the largest) or type.
The file names will be an alphameric string name, so you may not be able to spot the vid you want, but you can right click and select "open" and then copy and paste the files you want to a new location. I usually just copy a bunch of them to a special folder first, then open them that way since it saves time. then i rename them something that is meaningful to me.