Adobe Download Manager is a utility developed by Adobe Systems Incorporated that was used to facilitate the download of Adobe Reader or Adobe Flash Player. You can't use it to download games or to create folders. Also, it has been discontinued and it is no longer supported. I suggest you check Software Informer database for an alternative solution. In order to create a folder for your game, navigate to the directory where you want to download the installation package, right-click on an empty space and select New > Folder.