Just a heads-up, while the Terminal method does work, it’s not always the safest route if you’re unfamiliar with it.
The command that toggles hidden files looks like this:
defaults write com.apple.finder AppleShowAllFiles TRUE
Then this line:
killall Finder
That’ll make everything visible, useful when you need to find hidden files Mac-wide.
But be careful, macOS hides certain files for a reason.
You don’t want to accidentally move or delete something critical.
Also, check your browser’s download history, maybe you’ll see your file there. All browsers keep a record of recent downloads.