XP or older: c:\documents and settings\yourlogin\application data\mIRC\downloads\
Replace yourlogin with your Windows login name.
* Note that appdata and application data are hidden folders.
If you don't find it there, go to Alt-O > DCC > Folders and look for the file type that you downloaded. It should be in the folder that shows up there unless you have a script that moves it somewhere else.
Your antivirus software may also be silently deleting or quarantining the file. This is a default setting on many antivirus programs when they find something they think is a virus or potentially unwanted/dangerous file. Check your antivirus logs and quarantine section if you still can't find the file.