IE 8 uses a new Low\Content.IE5 folder for subdirectory files like the images and such. It took me a while figure this out, so you may not see anything when you use the old method -> "go to tools, Internet Options. Click on Settings under Internet History and then click view files."
So solve this you need to make sure the option to hide Hidden files/ System hidden files is not checked under folder options under control pannel.
You would find your files at C:\Users\(Your Username)\AppData\Local\Microsoft\Windows\Temporary Internet Files\Low
The only other way to make the files show up in the traditional folder is to turn off IPM (not recomended)
Internet Explorer 8 (IE 8) uses Internet Protected Mode. When this is enabled you would only see some downloaded files not the images, videos, ect like you use to.
You need to go to Tools, Internet Options, Click on Security Tab and uncheck the Enable Protected Mode. Restart IE.
Then go back to tools, Internet Options. Click on Settings under Internet History and then click view files. The files should be there now.