Making a folder to store downloaded files (or for any purpose)

First:   get to your Windows desktop
Second:  double-click on the "My Computer" icon
Third:   double-click on the drive that has a "c:" in its name
Fourth:  click the File menu, then New, then Folder and call it
         "download"

(Note: this procedure can be used to make a new folder for anything you want.  Many people are scared of doing things like this, but this is a perfectly OK and even recommended thing to do, because it's the only way to keep track of your files.)