Well, there are a few ways. You should take note of where you are saving the designs you download (and backing them up on a thumb drive or writable CD!) but since you don't seem to remember where they are, you can do a search on your computer for them. If you don't have Microsoft Windows, I won't be able to help you do the search, since I've worked with Windows for so long that I can't remember any others.
To begin, click on [Start] and select "search" from the menu. You then want to pick "for Files or Folders" from the options available. This will open a box that asks "what do you want to search for?" Again, choose "All Files and folders" and the next screen will offer several criteria to search for. You can use the "All or part of the file name" by entering ".pes" (or whatever file type you saved) or you can go to the "more advanced options" and choose your file type there. Make sure that it is going to search where your files are most likely saved (probably your C drive) and let it run. All the files in the format you chose to look for will be found and listed for you. You can then just note where they are or you can move them all to a single file. I recommend having a separate folder for each website that you save from, but that is up to you. =] Good luck in your search! Feel free to ask for more help if you need it.
isn't it strange how some don't even know where they download something - hmmmmm!