Desktop is not good destination for downloaded files and the reason is very simply - desktop is a part of the System and malware that can be hidden or unknown for installed and working AV engines can very easly compromise it. In this case system backup/snapshots are useless and worth of nothing. Much better is to allocate some space for downloaded content in non-system disk...I think everyone can do this by creating a special folder and set it in internet browser as default location.
Back to topic...my folder consists actualy everything - documents, pictures, installator, archives, etc that can be needed or used in few month. Then all files are sorted to another specific folders like Documents or Installators (both folders in non-system disk also). "Download" folder is also added to the list of restricted in SpyShelter what means that actualy nothing can be launched by itselves. If I want to run/check some files I have to copy it to the special folder on system disk called "temp" what allows me easly use virtualised system (by SD) and still be safe.