Unless you have specified your own download location then this is not available on the Blackbaud hosted environment.
Press the Z logo in the top left corner of the main Chimpegration menu. This will bring up the about box.
Press the advanced button and select debug mode.
After pressing it press it again and you will see that it has been ticked
Go out of the about box by pressing OK and start the process that you want to review.
The downloaded file will normally be stored in the following format:
C:\Users\[YOUR WINDOWS LOGIN NAME]\AppData\Local\Temp\[A LONG GLOBAL UNIQUE ID].tmp
You are able to open this file in a text editor such as notepad.
If you have kept debug mode on there may be several of these files as Chimpegration Classic will not automatically delete them. Feel free to delete them manually and then turn off debug mode to ensure that they are deleted in the future.