Where are my downloads?
You can see and change the default directory where downloads are downloaded. It is in the settings page (see Where are the settings?), third tab "Behavior".
By default, the download directory is dwhelper at the root of your user directory.
If you change it, don't forget to save your modifications with the button "Save" at the bottom right.
Once your media has been downloaded, you can also open the media sub-menu, and click "Open directory".
This documentation is about Video DownloadHelper.