Files that have been sent to you by your contacts can be found in the conversation history for that contact.
For a list of all files sent and received, in the menu bar click View > Files sent and Received. The list will show you who sent you the file, the name of the file, date and time it was sent. Using this information, you can locate the file in the conversation history with your contact. You can’t open files from the Files Sent and Received list.