Did you look at the download tab as that will show you were the exe file was downloaded.

In Google Chrome, do your downloads still show up as little boxes along the bottom of the window? You might be able to open/run a download just by clicking on the main part of the box, or you might need to use the little button on the side of the box and open the folder containing the download, then double-click it there. (Sorry, this is from memory, I almost never use Chrome.)