to view temp files that internet explorer ( ie ) is
creating and using do this

1) file  up internet exporer

2) click on 

           Tools

   on top line

3) select

           internet Options

4) in the middle row it says

           Temporary Internet Files

   find
          
           Settings

   and click on that

5) click on view files

6) bingo you get a list of all the temp files
   internet explorer is using.

   NOTE: files are not listed while they are
         being downloaded. they are only listed
         after being downloaded. in the case of
         my 15 meg tempe.wav file it takes a while
         for the file to appear

7) to copy the files into another directory you
   can drag and drop them or move them a number of
   other ways you can move files in windows.

8) it looks like internet explorer places these files in

         C:\WINDOWS\Temporary Internet Files