You should "not" choose your desktop as your download location for security reasons. Instead, choose the default or other partition/HDD.

If fast access to your downloads is what you want then ... For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.

You can also create a shortcut to your downld folder & send it to the desktop. But DON'T make your desktop your downld folder!!!!!!!