The desktop is a silly & potentionally dangerous location to downld files to. Normally the default save location is: C:\Documents and Settings\"your account name"\Shared
If you want quick access to the shared folder then make a shortcut & put that on your desktop, or go to the LW Library window & select the Saved Files folder & press the Explore button & this will open it up for you.
I don't understand why you would want to delete your desktop folder or saved files folder or any other for that matter. You're potentially looking for problems by deleting items out of your LW Library window without knowing what you're doing. I don't understand your mental approach at all. Why delete anything. Just go to the location & move your downlded file to where you want it to be.