To everyone that has had this problem, do what I did to start out with. Make a New File in a place where you know where it is. Then everytime you download something for your desktop put it in that folder.When you are done sifting thru the hundreds of items on this wonderful site you will know where all the nifty things you downloaded are. After a while of downloading my first file got kinda clutered so I had to make subfolders so my files look something like this

Desktop Themes/Icons
Window Blinds
Widgets
Wallpapers

Another thing to keep in mind is once you have used something you have downloaded a copy of the file is sent to DesktopX or whatever program runs it (CurserXP,WindowBlinds,OD, ECT.) So you can delete it if you are a neat freak like I am. I hope this information helps some of the new people just getting into this awsome site