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Do you have a "Device Search" or "System Search" App pre-installed on your phone? You can try searching the name of the film you downloaded. That could tell you where it's stored.
My best guess would be, it's saved in your 'downloads' folder or possibly is stored in your gallery but just under a different 'Album'.
Have you tried clicking on the film in your download manager? That might open the video file. From there you can look at the properties using the little "i" icon at the bottom of the screen.
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