When you download files from the web to your PC, they are automatically stored in a folder, the location of which is set by your browser automatically. However, it is very easy to change this location yourself. Here's how to ensure files are downloaded to a folder you specify when using Firefox 4.
Open your web browser and from the Tools menu at the top of the Window, select Options.
Scroll down to the section marked Downloads and click Browse, which is located next to Save files to.
Browser your hard drive to locate the folder you want your downloads saved to. It is also possible to create a new folder of your PC by pressing the Make New Folder button, which also lets you name the folder. When you're happy with the location press Ok. Then press OK on the main options window and your downloads location will be changed.