The documents will download a PDF file. Some browsers have different ways of downloading these files.
This means they could appear along the bottom of the screen for you to click, in your downloads in the top right of your browser, in a separate window, or even in a new internet tab. If you have a pop up blocker then this could also cause an issue.
If you’re still unable to locate your downloaded documents. You can usually find it in a special folder called "Downloads."