They can be in the "Main" folder location (ie not in any folder). They might be hidden. They might also not be compatible with your specific device so the icon is not displaying.
go to the downloads folder > blackberry button > Move to Folder > select Home > exit the downloads folder > find the icon > blackberry button > move > move the icon into one of the first 4,5 or 6 icons available on your main home page
I think you will be greatly benefited from reading the 101 lectures. I have a direct link to them in my signature and you can also find them at any time through the "Blackberry Help" menu option at the top of every page here at Crackberry.