Here's what I do ~ similar to Louise's method. All my downloads go into a download folder. From there I extract them and get rid of the zip files.
The unzipped folders and files are moved to a folder named 1 -- that way it's at the top of the list of all my embroidery folders. From there, using windows explorer, I cascade the embroidery folders on the left and click on the folder labeled 1.
As I go through each of these folders I use the Control-Enter function to highlight all the formats and sizes I don't want and then using the right click function I delete them. Then I rename the folder or design to something that makes sense and drag and drop it into the folder on the left.