Files you download should still be where you saved them, but the history of when you downloaded them and where you saved them is cleared when you close a private window.

Do you usually save your downloads to the same folder, or do you have Firefox ask you every time? If you use a single Downloads folder, it should be listed in the Options dialog: Startup, home page, tabs, and download settings.

If you need to, open a file browser in your user folder (C:\user\<yourname>) Then use the search box to fine the file. Just enter part of the file name.

As posted above only your download history is purged when you exist private browsing mode and the files should still be on the hard drive when you originally saved them. It is a consequence of PB mode that nothing is stored to disk and you also get the about:downloads page instead of the Downloads folder in the Library if you click "Show All Downloads" if you are in PB mode.

I tried all the above suggestions before, but it turns out that the files were saved with different names from the ones I was searched for. It was sorting by date that helped me find them. Thank you all.