Internet Explorer: Ctrl-J

Opera: Ctrl-J

Safari: Ctrl-Alt-L

And here you thought we'd have another universal command! No, Safari is the holdout this time; pressing Ctrl-J in that browser is for "jump to selection."

In any case, when you invoke the command, you'll see a list of all your downloads -- usually in a pop-up window, but sometimes (like in Chrome) in a new tab. Either way, you'll then have the option of opening the folder that contains any given download. In Chrome, for example, you simply click the Show in folder link. In Firefox, you right-click the file and then choose Open containing folder.