My bad, I thought you were using the downloader.
Open Firefox, click Tools, Options and on the General Tab look at the middle of the dialog for Downloads section. Under "Save files to" you should be able to see where the file is actually located. I always change my download location to my desktop as it is much easier to find a dl. Look at the location that is displayed for the file. Clicking the Browse button will let you select where you would like to have the dl's placed for future downloads or the "Always ask me where to save files" option if you prefer to be asked where to save each time..
Also, if you don't have firefox set to do automatic updates, click Help, About Firefox and click the "Check for updates" button. The newest version is 9.0.1. If your install is older I suggest you update to the newest version.
Sorry I misunderstood your question. . . =)
Edit: On my systems, Firefox creates a "dummy" file that is used during the download. When complete it creates a file, in the specified location and copies the data to that file. It then deletes the dummy file. You may have been looking at the dummy file with the actual dl file being now located where specified in the Firefox options.
Windows usually has a "Downloads" directory under Users, [username]. Firefox is not necessarily set to download to that directory.