Sorry to ask such an elementary question.  Seems to be a
lot if "folks in the know" on this forum.  I am certainly a rookie.

It seems to be working when i test it, but where are the
files?  

My example is a wedding website i designed online - I shouldn't say designed,
I filled in the blanks, uploaded pictures, picked the colors and added a
couple songs.

The mirror process seems to take about 1-2 seconds, and I know it couldn't
download the pics, music, etc. that fast.

I go the location it saved, and click the index - browser window opens and the
following address appears:
C:\My Web Sites\www.EXAMPLE.com\www.EXAMPLE.com\index.html

I can fully browse my site, but I don't think those files are on my PC, I
think I'm still browsing the web.  Where would they be saved?  They are not in
the folder I created when starting a "new project".

Thanks for helping a novice!