I think he is talking about the UT download from the front page, not the UTDC.

Did you enter the right name when you searched for it on your computer? The file is called UNREALT436.RAR? Did you click on save or just click on open? If you just clicked on open, it will download it to a temp folder then install it, but it will be deleted once you do that.

Once you have it downloaded you have to install the winrar program to be able to unzip it. Just do a google search for free winrar.