There are much easier ways that allow you to save it to a filename and directory you specify as it downloads. No need to log off and go hunting your hard drive for it. Like I said, there are various applications available that do this automatically. Much, much quicker than a HD search.
You are of course, correct ... unless your computers are behind a firewall controlled by a totally anal network communications person who knows that his/her job is forfeit if a virus hits the LAN. In this scenario, alternative methods are viable.
Because of the proliferation of computer virus programs, it is becoming difficult to send/recive anything but a plain-text e-mail. Any communication with an attachment is quarantined, sometimes without regard to the type or content. At the rate that e-mail lockdowns are happening, I forsee the return to snail-mail as the preferred method of casual information exchange.
... makes one wonder if the USPS might be in the virus business ... /sarc