I find it odd how it places files in the Downloads folder, whereas when I used IE, I could choose where it went.
Unless there are settings that disable this.
Go to options, then under the hood, then check "Ask where to save each file before downloading."
You can also right click on a link and use "Save link as..." to save something somewhere other than your downloads folder. You can also move your downloads folder somewhere else if you want, the downloads path option is right above that checkbox I mentioned earlier.