AirDrop files not being saved to downloads (or anywhere) on brand new macbook pro.

Hi there!

Got a brand new macbook pro a few weeks ago and have done every update available, but I'm having an issue with AirDrop files not showing up in my downloads or anywhere else. When I airdrop a photo, for instance, from my phone to my laptop, the alert shows and I can open the file, but it doesn't go to downloads or elsewhere. Even when I search the name of the file it doesn't show up anywhere. What can I do to fix this? It's incredibly frustrating.

Thanks!