I think the OP is referring to when you click to download something from a webpage, e-mail, or etc, and the black screen pops up to show the progress and list of previous downloads.
I, myself don't know how to get to that unless I download something.
You MAY want to try the app called ASTRO file manager though. It's quite handy, as you can view/move/edit files on your SD card right from your phone more like what you'd do on a computer.
And you can search for files, so if you know at least PART of the file name, you can find it there...
[Unless you're not interested in the app, then, hopefully, someone knows how t pull up things you've downloaded that aren't apps]