It probbably went into your temporary files. I suggest you download it and click 'save', not 'run', and save it somewhere obvious such as your desktop.
Isn't it a self-extracting file? That always confused me with LFS, where the hell do you extract it to? The root of 'Program Files' or wherever you put it, or in a new folder altogether? The latter IIRC. God help you if you choose the former, clearing up those files.