Frostwire files cant be opened "security" reasons ?

HELP ASAP !
I downloaded frostwire to download GIMP and It wont let me open the gimp file downloaded
I cannot find my downloaded items from the internet

NEW to windows 8

Try this:

1.) Open up Frostwire and click on Tools at the very top

2.) Click on options and a window will pop up

3.)Under "saving" you'll see Save Folder