Re: When downloading content from the internet i cannot find the music files on my phone.
Are you sure you don't choose "Open" instead of "Save" in Internet Explorer?
If you use something running Windows Phone 8.1, use the Files app to find your downloads in the Downloads folder. Use Storage Sense to find out whether it is located in the internal storage of the phone or its microSD card.
If you used UC Browser to download the file, check the Downloads tab.