You can configure DAP to filter your downloads into different directories (such as music files to a Music folder, Movie files to a Movies folder, etc.). In order to do so, select Categorized downloading, Add as many categories/folders you want, and click Apply.

If you want all your downloads in one directory, leave 'All downloads should go into one directory' selected. You may wish to check the ‘Remember last directory’ option, so DAP will keep downloading the files into the last directory you used.

You can also change DAP's temporary folder.