Most of the time downloads are saved by default in your computer Download folder . for windows its somewhat like C:\Users\xyz(your computer alias name)\Downloads . So you can get videos from there or also You can get it directly from by pressing : CTRL+ J from your keyboard. A window will open with all your recent downloads . there you can see a folder like image at every downloaded items. click that folder icon and You will get the media or whatever you wanted to see.

PS: sometimes you will see that the downloaded items went into temp folder ,which can be retrieved by selecting all media files and cut -paste into desired folder. from there you can use them into vlc.

Type about:preferences#general<enter> in the address bar. Look under Downloads.