[This is one of the most basic of OS X tips, but I neglected to publish it earlier...most everyone is familiar with it, but I figured it was at least worth having in the system! -rob.]
There's a bug (feature?) in the PB in which new downloads from IE do not immediately show up in the finder.
There are a couple of ways to make them show immediately. The easy way is to go to the Download Manager window within IE, double-click the filename, and then click the Reveal in Finder button.
Alternatively, if you do something to the finder, the new files will show up. For example, create a new folder and drag it to the trash, and you should then see your newly downloaded files.
I assume this bug will be squashed before OS X 1.0 ships.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20001130155722958