Can't find download
My guess is you clicked "open" instead of "save". On a PC when you do this the video is cached in your browser and will play in iTunes, but once you close iTunes your file is lost forever since it was never saved to your hard drive.
I would suggest re-downloading the file and make sure this time you click "Save" and select a download location that you can remember. Some browsers automatically store downloaded files in a specific folder and others save directly to the desktop. We recommend selecting a location that is most convenient for you. Then click on Movies located at the top left of iTunes under LIBRARY. Once you do this, you should see a list of movies currently in your iTunes Library in the main panel. Drag all of the CatheDownloads you have purchased from their download location into the main Movie window. This will add them to your library.