I found this in a few different places around the 'net - hopefully it's helpful:

Make Sure Downloaded Files Are Easy to Find Later

With Windows XP, it's easier than ever to download software updates, games, sounds, pictures - just about anything. But sometimes it's hard to find them again on your hard disk. To make sure you can, specify where you want a downloaded file to go.

• After you've indicated you want to download an item, a dialog box asks "What do you want to do with this file?" Select Save this program to disk.

A dialog box opens where you can specify a folder where you want the file to go.

If you use FireFox, you can choose the default dowload location which I always put on my largest drive and name it My Downloads. Every once in a while, I list the contents by size and delete the big ones. If it is an important file (like Eudora and so on), I save it a level deeper.

I dl loads of stuff (from trusted sites) and mostly wait a couple days before installing and i usually decide that I don't need it and delete the file.

FF has a pop-up that tells you when your dl has completed and has a button to open it immediately, which is cool but then I end up with a lot of installed stuff I never use, sigh!