Are you using something like Get Right? or just your browser downloader?
If it is the browser downloader depending on the browser you use you should be able to find a setting in the "preferances" using Netscape, in IE I belive it is in the "tools/internet options" .
Netscape offers you three windows you can have display or not just by checking the box next to it. Don't use IE so can't tell you what exact setting your looking for but the above might help you.
Good Luck!
p.s. If I'm not mistaken unless you direct your download to a specific place, Windows will place it either in your documents or on the desktop, my guess is that if it were placed on your desktop you would have seen it so look in your documents
