Where exactly are you clicking "Show in Finder"? Do you mean the magnifying glass in the download pull down menu in the Safari toolbar? Or something else? I am not aware of any menu titled "Show in Finder" in Safari.
Did you actually move these files? Did you change the location to download files to something other than the default "Downloads" folder?
If they are still in the Downloads folder, you can switch to Finder, and press Command-Option-L
to open the Downloads folder. Furthermore, you can use List View and sort by Date Added or Date Created to easily access the most recent folders. And of course you can access by name.