Thanks for the advice. I tried it, twice, still no go. Guess I'll call Mac in the morning.
Did you look in your dock? I believe the default dock contains an icon to your download folder, normally right next to the trash can, and the latest download should be there. As mentioned, there should be a folder in your home folder named Downloads.
In addition, if you are using safari to download, you can show the downloads window there and the file should be listed. click the hourglass icon and that will show the file in the finder.