Hi, I'm Elise, a fellow user like yourself and I'd be happy to help with your issue.
With the new versions of Edge the files aren't stored like that in the traditional sense. For file downloads specifically they are held in the location you are trying to download as a temporary file before renaming to the actual filename.
For cached data it is store in: C:\Users[username]\AppData\Local\Microsoft\Edge\User Data
But this isn't readable to a user in the way that Internet Explorer data was, you would need specialised software.
Please let me know if you need any further assistance.
Kind Regards,
Elise