internet temp files

Hey ,
I have Vista, but I am coming form 95 stystem. This is my problem, in 95 if
there was something like a picture or sound file that I came across on the
web I could go off line, walk the heirarchy of my computer (double click my
computer and so on)
down to where the internet files are stored and search from it , htm, or wav
files and the like. I then could display the file or move it to where I want
to keep it. Example, I found the lord's pray in aramaic, I want to save that
wav file or what ever file type it is, but when I go the interent temp files
in vista I can't find anything like what i viewed on the web. I also can't
open to view any files, I keep getting a "no association" notice