Like I said before...your incomplete folder will 'follow' your saved folder...but won't go to the same folder as your downloads (the saved folder is for completed downloads, the incomplete folder is for downloads that have not yet completed). So if you're saving to your desktop then of course your incompletes will also save to your desktop, but in a different folder (an incomplete folder). What is your path for saving? If it includes \desktop then that's where your incompletes will go as well.

If you don't want your incompletes to save to your desktop, change the location of your saved folder