i like to save everything i download to dvd for archiving purposes.
what i would recommend in general is create a directory on your Hard Disk or desktop labeled MyDownloads or something, and get into the habit of always downloading into that folder.
every once in a while create a new subdirectory with the current date, like "Downloads_082107" and move everything new you downloaded into there.
then at the end of the month, or after you have accumulated a cd or dvd worth of downloads, burn that directory to cd and delete it and start again.