If you have already finalized, then the Finalize command will not do anything.
When you share to all possible sizes in Media Browser, then that is the same thing as Finalizing. These are two different commands that do the same thing.
If you edited your project some more, it would become possible to Finalize (or Share to Media Browser) again.
The movies that you made in the Media Browser are available for use in the Apple App like iDVD, GarageBand, Logic Pro, Pages, Keynote, etc which have a Media Browser. They are also available in 3rd Party apps which support the Media Browser such as Microsoft Powerpoint.
So where are these movies? They are stored within the iMove Project. To find them, go to the Movies/iMovie Projects folder (or the iMovie Projects folder if you keep them on an external drive). Find your project. Right click on the Project Name. In the popup menu, choose "Show Package Contents". Within the package, look for the Movies folder. There you should find your finalized movies.
If you need to make a movie and store it in a specific location so you can find it, use the SHARE/MOVIES option. You can make the size you need and store it where you like.
By the way, if you share to iTunes or Share to YouTube, this creates a Media Browser copy as well.