Yup, you ARE supposed to have more than one folder: the Shared Folder.
This is were the downloaded files all go and, if you chose to share your files with the rest of us (wich you should- I mean it's p2p after all right?), from were files are uploaded by, well, uploaders.
Now, if you got Mac, then go to Preferences and then to Sharing were the folder were the downloads are being stored is specified.
Again, if you're on Windoze then I got no clue as to were you can find this Preferences or Options thing (probably under Tools or sumthin'). In that case, you'll have to wait for appropriate help from a Windoze expert.
P.S. If you had specified at least what OS you are using this would not happen you know.
