The default path where the files are saved is C:\ Users\ User-name\ Videos\ honestech HD DVR. You should search in the location mentioned first. Also, you can try to use the Search service from Start to manually detect your files.
If the program can't be set to output the data into a specific destination, this can be caused by an internal error of the application. To fix it, try to update the program to the latest version available. The latest version was tested, and there was no issue encountered. You can download the program from the official website.