If you're using Internet Explorer to download PDF files it will be stored in your Temporary Internet Files directory.
C:\Documents and Settings\User Name\Local Settings\Temporary Internet Files\
This folder is a hidden system folder, so you will have to go to Tools, Folder Options, View from Windows Explorer to show protected operating system files.
When you have found the hidden folder, sort by Type and scroll down to PDF files to find your ebook. When you try to open it you will get a warning that this may cause instability. It didn't for me, so just go ahead. Open it in your PDF viewer, and save it to My Documents.
It would probably be quicker to download it again unless you're on dial-up.