It will be saved in C:\Documents and Settings\<your user name>\Local Settings\Temporary Internet Files\<random characters>.
You may have multiple folders with random character names in the Temporary Internet Files folder. If you know the name of the file you saved you can just do a search for it (Start>Search>For Files and Folders). If not, then you need to open up each of the individual Temporary Internet Files folders and browse through them until you find the file you are looking for.