It's inside a "Virtual Store" folder under your nickname somewhere. There are at least 2 posts with the exact path name, or you can just use the search feature in Windows for the filename for for the "Virtual Store" folder. You can thank Vista for preventing you from storing files in any location you tell it to.
Your other option is to change the download path to a "safe" place, such as the desktop. I'm not sure what other locations are considered "safe" by Vista, where the file won't get secretly moved to that Virtual Store folder without telling you.