Itunes can't find my files and I don't know where they are?

I recently downloaded around 50 or so songs using video2mp3.net. When I download the song from the website it has the option of opening the download when it's complete, saveing it, etc., and each ime i just click open because it automatically opens the song in my itunes. After syncing my music to my iphone tons of the songs have exclamation points next to them, saying that they can't be located. I can't find where my computer downloaded the files to, can someone help please!

You should click "save" when you download songs from the website.