Where is my audiobook downloaded from iTunes?

Help, I just downloaded an audiobook from iTunes that I need to listen to asap, and it doesn't seem to have downloaded anywhere. I logged in with my apple id and paid with a valid credit card, and then it just showed a picture of the book with the option to buy it again. I don't see it on my desktop or in my downloads folder or anywhere, is there something I'm missing? Can someone please tell me where it SHOULD download to, because I don't want to buy it again.

Thanks

That did not work

It didn't work, there was nothing in any of those locations......