To locate the file where they were saved, try searching all of your folders for "Lloyd-Export." You can start with your download folders as that is where you are most likely to have saved the videos.
Once you have found the Lloyd-Export folder you will find a series on folders inside with long string names. Each one of these represents a conversation that you downloaded (if you only downloaded 1 conversation you will only see 1 of these folders). Inside each of these folders is a folder called "assets." The assets folder contains all of your videos, pictures and audio messages but they will not be sorted by date order.
To watch the videos in date order locate the file index.html in the main Lloyd-Export folder and open this in your web-browser. You will now be able to watch your videos in an easy to user format even when you are offline.