The desktop folder is a very risky place to have your downloads go to for both virus & security reasons. Better is the default as LonestarSecurity suggested. If you want quick access to your downld folder then either, create a shortcut to the desktop or else, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you when you need it to.

You can change the location of the downld folder by going to LW's menu bar, Tools>Options>Saving.

BTW if you have changed the location of your LW downld folder, then you can delete the older incomplete folder.