Music being saved in wrong folder?

-Whenever I download files or programs, they are being saved in My Pictures folder, as well as the Downloads folder. I deleted the ones in my pictures, but then (for example with music) it said 'song location not available', and I found that the song had also been deleted from the Downloads folder. In addition, my computer wouldnt let me move the files from my pictures to the downloads folder. Does anyone have any ideas how to solve this problem or explain what is going wrong? Thanks :)