thats a very good idea!! this is why -
i download lots of video and large amounts of software and what happens is when your downloading, especially at high speeds, it is too much data for a pc to organize. so it does it throws all the data wherever on the HDD, and before long your drive is heavily fragmented. on my download drive, it reaches fragmentation levels of 30% - 40%!! considering anything over 5% is bad. this is the number one speed killer on a HDD.
so, on my system all of my download are sent to my designated download drive, 90% of the time all data is compressed. then i will uncompress all data and save it to the appropriate drive. i have a software drive and a video drive. then instead of defragmenting my downloads drive i usually format it from time to time. my other drives still get fragmented, but at a much more manageable rate. and it also keeps the clutter down.
most browsers let you choose where to save your data, but i use Firefox and it can be set in the options tab. default it saves to my docs. some programs you can't save directly to the drive, you need to create a sub-folder on that drive. for security reasons... i guess