Once you’ve downloaded something in Internet Explorer 8 and closed the download window, you can no longer view what you downloaded (or rather where you stored it). Sure, you can view the history to see what was downloaded, but not where the download was saved to.
There is no way to view the downloads in Internet Explorer 8, like there is with modern versions of IE. So I recommend checking the usual places that downloads get saved. Failing this, start a download of something new and see where it saves it to. Alternatively consider a search for the file.