Yes, also I've been puzzled by what Android does in this particular instance. This is what I had to do with my Samsung Galaxy Tabs:
Have a look in the My Files area - there should be an icon for it on one of the screens. The downloaded files are usually hiding in folders either in the main memory or nested within the SD card if you have one installed. Keep exploring and they should be able to be discovered.
Wishing you success in the search,
FOR