In IE go to Tools (in the file menu) and click on Internet options. In the window that opens up, Click on Settings under Browsing history. Look just below Current Location: for the Temp folder location.
In WinXP it is in C:\Documents and Settings under your current user (the one you are signed in as). Under the current user folder it is in Local Settings\Temporary Internet Files. When you open that folder, an hourglass will appear. This happens because the files are actually kept in hidden subfolders and Windows is looking through them and compiling all of the files to list in the Temporary Internet Files folder. There is a setting in Internet Options on the Advanced tab in the Security group which deletes the temp files when you close the browser. Maybe that is set and so the files are deleted.
I finally figured out my problem. Even though I have the setting in Windows Explorer to show hidden files and folders, it is still hiding them. When I used a FTP program, I saw the Temporary Internet Files folder.