I use Mac Mail.What mail client do you use?
Try using the Rebuild option found under "Mailboxes" in the menubar
If you navigate to MacintoshHD ~> Users ~> YourUserAccount … there is no Downloads folder there at all? If it's there, just drag it back onto your Dock, just to the left of where the Trash icon is.
In Mac OS X 10.7 the Mail Downloads folder in found in the user library, have you looked there?
If you look in Mail preferences under General, you specify the location for all downloads there.
I'd forgotten all about the Mail Downloads folder until I did a Spotlight search for it, I changed the download location quite some time ago to suit my preferences.
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