I have Firefox set to save my downloaded files to my home directory in a folder called downloads, but often times, for whatever reason, my downloads end up on my Desktop or in some other folder in my home directory. And I have no idea where my Adium and torrent downloads are set to save. In any case, I found it useful to create a Recent Downloads Smart Folder, because I always have a hard time finding the file I just downloaded. Here's how to do it:
Open a Finder window and hit ⌘ f. In the top grey bar, where it says Servers Computer Home Others... click Others....
Check any folders where your recent downloads might end up. If you don't see one of the folders there, hit the + in the bottom left of this window to add it. Hit OK when you've added all the folders you want to include in the search.
In the first search criteria selector, choose Created in the first dropdown and Today in the second dropdown. You can optionally add as many other criteria as you want, but I just used that one.
When you've selected all the criteria for your search, hit Save in the top right, and choose to add the smart folder to your sidebar.