Hi Edge-Net,
This might be long-winded but it works. I don't move files around, so don't know the quick & easy ways!!

Go to 'My Music' or wherever you want to open your new folder. Ckick on 'Make New Folder'. Re-name it to what you want. Now open this new folder. Right click > explore.
Find where your downloads are (Hobo gave you instructions) & open the folder with your downloads in it.
Right click on the file you want to copy into your new folder.
Select 'copy'.

Now, just open your new folder > right click > paste.
Your file is in your new folder and also still in it's original place.

Sorry if this is confusing & like I said, there's probably a shortcut for all these steps but I don't know it


*Or, you could just make a shortcut to your saved folder & send it to your desktop. That's what I've done & I don't have to open LW to play my stuff.