Have you also checked the content of the downloads folder at your server?
I've tested this on a local test install of IcyPhoenix with a small mp3 and I was able to upload, download, see it in ACP
and locate it in the folder (under a changed name!)
I tested this on the latest stable release because that is what I assume you are using.. I also assume you did not alter default settings (limits, permissions and stuff like that) .
maybe I should not have said "a little more info"
please give as much info as you can
(development/under construction ...Forever?¿?)