Kevin,
Just do a 'Search' for the filename you downloaded and 'Search' will find
it for you.
As an aside, I never ever click on 'run'. If one does that, one may run an
'unknown' file on the PC with potentially dangerous outcome (virus / trojan
etc). I always use 'save to disk' option, and in turn, this will give you
the option of saving to a known destination on your hard drive.
I just had the same problem. My file WAS there but the name did not
appear. Try doing a SEARCH on the file name and I bet it will be found?
Did you use IE or a different browser?