HELP! where do music files go on your computer after downloading them?

I've been downloading newer songs off this website called Hulk Share. everything works, the song always plays, and then it shows up in my itunes. then like a half hour later an exclamation point appears next to it when i try to play the song and then it says the file cannot be located. i am getting really frustrated!!! and then when i try to find it it sends me somewhere weird with a whole bunch of pointless files and letters and numbers. i dont know where these files are disappearing to, but its pissing me off. and if this is any help, when the song is downloading, it says it is going to a temporary folder, whatever that means. any suggestions would be helpful! thanks!