Your files are stored on the HDD which is usually the C: Drive. If you don't want them on your C: Drive, then you will have to direct your downloads to another Drive. As I said Earlier, my Saved files are directed to L:\ Shared which goes on an External HDD.
The Reason we share is to keep P2P alive. If no one shared then where do you think you would get the files that you download?? These files are coming from other Peers that are sharing there files.
Peer-to-peer - Wikipedia, the free encyclopedia