The files are hidden.
Go to Folder Options and under the View tab uncheck Show Hidden Files and Folders.
Navigate to C:\Windows. You'll see them there in green or blue. This is from memory, I don't remember the color.
Whether an incomplete download will appear there or not, I do not know. It may never have made it out of a temp file or folder. Regardless, you'll see them all there. I usually delete them, not necessarily to gain disk space, but because it makes any scans considerably quicker. AV, Spyware, etc.
Edit: For spelling, as usual! :|