When you download a document it is saved in a folder called "Temp". This is found in different locations depending on which operating system you are using.
PDFs are simply downloaded to your "Downloads" folder via the web browser.
If you need to retrieve a document that is still checked out by you, there is a link to instructions regarding which folder to look for on the page which shows that the document is locked by you. See image here.
For instructions on how to locate your "Temp" folder select your operating system below: