How do i set downloads to be saved on my desktop? Also how do i get my media player/realplayer (the winamp i used was weird) to play all the files ive recently downloaded, or to auto store them into a playlist
Are you using a program to download files? If so, look in its options menu which should allow you to change the default location.

Also, get your media player to search for your new files which will import them into your library, then if you specifically wanted just the ones you had recently downloaded then I guess you could sort them by date added.