A couple of things:
First, are you sure the email came from your Internet provider, and not some type of phishing email?
Second, if you did receive some type of email stating that pirating is being tracked to your IP, it could very well be due to files being shared, not downloaded. So, look for programs that are running.
Use Windows' Task Manager to bring up the list of running programs.
Click on the 'Process' tab.
Check the box at the bottom that says 'Show processes from all users'.
Sort by name, just for ease.
Start searching in Google or Yahoo for the various program names, and see when a file sharing or peer-to-peer program is listed for your search.
Search the PC for that filename and start the removal process. (see if there's an uninstaller, delete the file, or other means)