Get info on the downloads folders in your home folder. Make sure they aren't aliases. If they are delete them. Create a new folder if necessary, name it Downloads, but delete all others. You only want one Downloads folder there. If you have one in the dock, drag it out. Drag the one you kept from your user home folder to the dock. An alias of that folder will be created in the dock. If you can't right click on it in the dock, try holding the command click (or control click- don't remember which) to bring up the contextual menu. Choose to display as Stacks from the menu.
Open Safari preferences and set that Downloads folder to download files to. Click in the box, choose other, and navigate to the Downloads folder in your user folder.
Once you have done that, try downloading a file and see if it goes to that folder. The folder icon in the dock will change appearance when you have a file within.
If you had it set to download files to the desktop, then that's where all your files were downloaded. If you had a previous download folder with files, you will just have to search in the finder for download folders on all drives.