Desktop is not a great place to put them, sounds messy and potentially risky.
Use a shortcut from your downloads folder to your desktop.

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 could go back one step in the directory and make a shortcut from there.