I'm not sure where your level of expertise with a computer is. Forgive me if I ask questions that seem really dumb. I'm assuming you downloaded directly to your computer and not some type of game manager or something like that.
When you downloaded, did you double check the location or folder where the download is going?
Could it have been downloaded into a different folder? Maybe check some other folders.
Do you know your default download folder? I believe it should be program files on the C drive, unless you have changed it. Pictures should go into your picture folder.
Assuming you have windows, did you try to do a search from your start bar?
If all else fails, you could go back and restart the download. Don't actually download, but check if you can see which drive and folder it is going to. I know some people have more than one folder.
If none of that helped, maybe give some more information such as what you were trying to download. Was it a game, music, program, movie, picture, or etc. Where did you think it was going to download to? In your picture folder, default download folder, desktop, or etc?
Maybe someone else can come up with a better answer for you.