When using Internet Explorer, you can go to "Ctrl Panel" | "Internet Options" | "General" under "Temporary Internet Files" section, choose "Settings". Click "View Files" and order by type. You'll find the shockwave files here.
I presume Firefox should keep them in the cache directory, under the Application Data/Mozilla folder, that is in C:\Documents and Settings\*username*. My folder didn't have any shockwave files there though. Maybe it's cause of one of my settings.
While I don't like IE anymore, it is still useful in very specific situations. Downloading swf files I want is one example of this.