More difficult to organise. It's safer to downld to a particular folder. You desktop will fill up with lots of icons quickly. And if you downld a virus, you will have major issues. If you save your files to an isolated location then you can scan the files & even if infection does get out, it will mostly be limited to that area. The desktop is not a wise place for any type of storage.
To create a shortcut for the downld folder, select it & go to File>Create Shortcut & tell it to place it on desktop.