Whenever i download anything, it goes into my saved folder instead of shared folder. What is happening and what can i do about it?

Hahahaha they are the same thing!!! Go to LW's library window & select the Shared folder. You'll see the same files are in there. If not, press the Refresh button.

Is there a way to keep it in shared

Hahaha it is in shared! The Saved Files folder is just a psuedonym for your shared folder. The problem is that the shared folder is not always immediately updated by LW as to what files it's sharing. That's why you need to press the Refresh button for LW to recount all the files it's sharing. It's basically the same folder!!! But you'd notice the files in the Saved Files folder are probably red which means they aren't yet being shared. If you closed LW & reopened it you'd find the files in there. Also if you Explored the folder you'd find them in there.