In Photoshop, start by opening the Library panel (Window > Library) and check the Adobe Stock Photos library. Are they there? How about the Downloads folder in the same list?
If not, you can check the other libraries in your list. Or go back to Stock photos, royalty-free images, graphics, vectors & videos | Adobe Stock and locate a sample image. Hover over the cart icon or the download from cloud icon, and click on the ^ to open up the save to menu.
Then you can pick where you want the file to go.