Don't really understand this question! When you download something, you are asked where you want to save it, and by default, the location will be somewhere on your hard drive (where else is there?).
If you want to remove them, you just delete them in the same way as any other file.
You can dowload the set up files to your desktop and also have a short cut to to the programme but programme will be installed to your hard drive, I have a file for all downloads called: all downloads, so easy that way and desktop doesnt get cluttered.