Hello,
WPM downloads files to temp folder and deletes them once transaction finishes. When you have recorded the transaction, did you get a "File Download" dialog in WPM that asked you what do you want to verify? There are options to verify file name, file size etc. One option is also to actually download the file. If you don't check this option, WPM just asks server for the file and verifies it's name and size without actually downloading it. Try to record the transaction once more and make sure that you check the option to download full file.