In Windows when you use a 3rd party browser or IE in Windows 10, the downloads may be stored in a virtualized folder instead of where you think they are being stored.
If you go to the "downloads" folder and you can't find your snapshots or downloaded videos, then check these file locations:
Windows Vista and 7:
C:\Users\[username]\AppData\Local\Microsoft\Windows\Temporary Internet Files\Virtualized\C\Users\[username]\downloads
Windows 8 and on:
NOTE: make sure to change [username] to your user name on the Windows Machine.