If you are saving to something like

C:\Documents and Settings\**Your Username**\Desktop\**whatever**

then the incomplete file will be in the right directory Desktop

Your incomplete folder will follow your saving folder and will keep creating itself there again and again until you find another save location.

I know many think of this as a good way to get easy access to their downloaded files, but it is just as easy to save to somewhere else and then just make a shortcut to that folder, that you then put on your desktop.