Hi -There is an official Downloads folder on a Mac. It is in your Home folder (that's the folder with the official 'user name' you chose when you first opened your operating system and set up your machine.), along with Library, Documents, Pictures and other folders. This is the default location for any download using Safari. If you change it from Preferences, and then accidentally rename or delete the folder location you were using to catch downloads in, Safari will automatically reset the download location back to this Downloads folder for you.
Also this 'Downloads' folder should have an an icon on the right side of your Dock.
If you are using Safari, you can find misplaced downloads from the 'Downloads' window that pops up when you start a download. On the right there is a little grey disk with a magnifying glass inside. Click on it and the Finder window where that download went will pop up.
The Downloads window can be opened from the Window menu of Safari, or by pressing option-command-l .
I change download locations often, and sometimes I forget and don't know where I just sent a download. The above method is good. But there is another way. You just type or paste the name of the file in the white search bar at the upper right of every Finder window. This is 'Spotlight'. Every file with that name will appear in the window. Click on one (If there is more than one. ) and the full path to that file will appear at the bottom of the Finder window. You can find anything on your Mac this way, if you know at least a part of the file name.
I just started using Snow Leopard and I highly recommend investing $ in a manual. David Pogue writes excellent manuals for the OS X operating system. You won't believe all the things you can do, and how much faster and easier everything you do can be.