First ...

You said " I removed AVG with the proper AVG Removal Tool and now only have Malwarebytes"

MalwareBytes is NOT an Anti-Virus (AVG was) so what are you using for your anti-Virus application now?

It is possible that you have downloaded the files but the location you downloaded them to is hidden and your account does not have permissions that allow you access.

Try this - insert a USB flash drive and try to download a file direct to the Flash Drive. Does it show up?

Search for the downloaded file using the command prompt (since you are using Vista use an elevated command prompt). You will need to know the file name and the drive you saved it to. Now type these commands in bold text, substituting the correct drive letter for C: if necessary -
CD \ (this changes to the root of the current drive)
C: (this changes to the C: drive if it wasn't already the root drive)
DIR downloaded-filename.exe /A:H /S (substitute the actual file name of the file you are looking for and if it is hidden it will list it along with the full path to the file)

That will give you a listing similar to the following with the path to the file shown here in bold -

E:\>dir produkey.exe /A:H /S
Volume in drive E is E_drive
Volume Serial Number is C439-9D01

Directory of C:\Downloads\XP_KeyFinder\ProduKey
08-Mar-08 20:34 33,792 ProduKey.exe
1 File(s) 33,792 bytes
Total Files Listed:
1 File(s) 33,792 bytes
0 Dir(s) 8,951,773,184 bytes free

If you can find the file(s) this way let us know and we can offer guidance to unhiding them.