All the files are being saved to their final destinations. As a default, it's the Torrent Data folder for all media downloads and the Torrent folder for .torrent files.
You can edit these settings in Tools > Options > BitTorrent > Basic
If you Cancel the download before it's completed, you will have a file with a .part extension saved in the Torrent Data or equivalent folder. If you were downloading a file from the BitTorrent network, you can later open the corresponding .torrent file in FrostWire and Resume the download.
If you don't want the .part file to remain on your hard drive, instead of Canceling the download, choose the 'Delete Torrent and Data' or 'Delete Download and Data' option when right-clicking on your download in the Transfer window.
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