OS X Mountain Lion: What is the Downloads folder?
The Downloads folder is the default location for any apps or files you download from the Internet. Most apps you use to download items, such as Safari or Messages, store the items in the Downloads folder.
An icon for the Downloads folder is located in the Dock. (Folders in the Dock are referred to as “stacks.”)
If you like, you can change the default folder for storing downloads by using your browser’s preferences. To specify a different folder in Safari, choose Safari > Preferences, and then click General.