Hmm it seems firefox (Windows) 3.5.2 has decided to change the default location for downloading files. Used to be the desktop, but if you suddenly discover that you can’t find things you’ve download you might want to head to Tools->Options in firefox.
If you see “Downloads” as the chosen folder (as below), you can change it back to the desktop.

Safari (at least on the Mac) also annoyingly places files there.

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CTRL-W Close Current Tab and Firefox too!!!
Yes, I have done that. Has worked fine. Today it was back to the Download folder. Why would that happen?