Not sure if this is what you mean, but I have a folder in C:\ called Web Downloads. I download EVERYTHING to that folder, and then I create new folders within that to seperate things like icons, fonts, wallpapers etc. So, If I was downloading some fonts, I would download them to C:\Web Downloads\Fonts and then I can move them to, or unzip them to the relevant place on my system. Does that make sense? Basically, everything goes to the same place, and then into sub-folders, so that I always know where to look for anything I have downloaded.
If the file was zipped, I always delete it after unzipping to the correct place, purely in the interests of saving space, but if I think it's important I don't delete the zip file.
I hope this helps.
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