How do I find my downloaded guitar lessons?

I recently downloaded some video guitar lessons that I had purchased from a website using firefox as my browser. Don't know what version it is but it was updated very recently. The computer i used is a toshiba satellite C655 with windows 7. The problem is that I cannot find the these particular downloads anywhere on this piece of crap they call a computer. Should have bought a Mac but that's another story. There is no sign of anything related on the desktop, I have looked in all of the files in the windows explorer libraries, every file in the users folder including the downloads file. There is no sign of them being in windows media player or in itunes. Nothing. I tried downloading them again and still nothing.

I have bought and downloaded guitar lessons from the same website before with no problems. I have considered the possibility of the problem being with the website but I have downloaded the same lessons to my iMac successfully. The reason for downloading to the toshiba satellite is because my iMac is outdated and the videos are choppy.