You might try setting up a folder called "Downloads" in your My Documents section, then changing FDM's setting to always download there. Also, unless you clear it out manually, all your downloads are also available in the History tab on the left side of the FDM window.
It would be much more helpful, though, if you could specify what type(s) of file you are trying to watch. For example, if you are trying to watch a DivX file, but don't have the program or the codec installed, it's not going to play for you.