Can you be more specific? Some apps don't have a user interface, as such (or appear as additional options in built-in apps). Most put their shortcuts in the Installations folder; Y-browser et al get put in their own folder (can't remember the name, because I always move them and delete the folder, but it's something with "Jukka" in it).
By "downloaded", I assume you mean "installed"?
If you can tell us exactly which apps you can't find after you've installed them, then we can help.
Firstly, have you enabled 3rd party installations? Go to Installations | Application Manager. Choose Options | Settings and make sure that you have Software Installation set to ALL, and online certificate checking off.
Secondly, how are you downloading?
If you are using the Web browser on the phone or the Download! app on the phone, then the installation should begin automatically and you will be prompted to install the software, and asked whether you want to install to the Phone memory or Memory card.
If you download to the PC you can use PCSuite installer to install the software on your phone (which will then ask the same questions as above).
If you download on the PC and then simply copy the .SIS or .SISX file to your memory card, you will have to browse to the .SIS(X) file on the phone and explicitly run it to install the software.
Only when you have completed the installation will you see the application in your Installations folder. If you have installed lots of apps (i.e. there are more than 12 icons in the folder), you will have to scroll down to see them all.
Have another go, make sure that you really are installing the software and not just copying the installation file to your phone, and that you are looking at all the icons in the Installations folder. If none of the above seems to work, please post step-by-step notes about what you did.
Don't forget that once you have installed software, you don't have to leave it all in the Installations folder. You can move it to other folders to group applications so that they are logical for you. (Select the icon you want to move, press Options | Move to folder and select and confirm the folder you want to move it to.)