Firefox crap

So I got Firefox 2 to try it out and see if the download speeds are better. Slightly better. So far my downloads have been good but for some stupid reason it is dumping them somewhere deep in my Windows folders and now it (my download) just disappeared even though I have it set to send the files to a certain directory. Any clue what would have happened to this file? I have literally searched everywhere and it just disappeared... not even in my recycling bin. Dangit vista!