Whenever you download a file in Firefox, unless you have the always prompt for a location option set, it drops everything into a My Downloads folder. If you don’t like this functionality, you can set the option mentioned above or you can have your downloads automatically ‘routed’ for you using the Automatic Save Folder add-in:

This add-on will help you by openning the save dialog already pointing at the right folder location according to filters you set.
The filters are based on filenames and domain’s name.
This extension works with automatic file downloading and left click on a link only, no right click for the moment.

This can be pretty handy if download files from a common location or like to organize your downloads by file type.

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