You said you get the download fine, and can open it... im not sure why you are then copy/pasting, but it would paste to wherever you told it to go from wherever you found it to copy it. Unless we are having a terminology misunderstanding here and by download/ going great/extract/open you meant only that you got into the senders directory to choose what you want, initiated the download and then dunno where the files went to?
In mIRC's options, file/options/dcc/folders you can specify where you want certain file types to go by their extension. (under "dcc get folders") When you play it using /splay or /sound, mIRC will also then know what directory its in so it can send the command. You can look at the ext there to see what its currently set for, which may help you find them.
By default i would guess they went to mirc/sound or mirc/download. Use windows start/find/files or folders to track them down.