Updated for Safari 4
Did you know that Safari provides several options for managing downloads? With Safari, you can set a default location for downloaded files, have downloaded files automatically removed from Safari's memory and manage active downloads.
To set the location for saving downloaded files on your hard drive, open Safari's preferences and select the General tab.
Click the button next to Save downloaded files to and a drop-down menu will appear and you can select a location on your hard drive:
When you download a file, the Downloads Pane opens and you can view the progress of your download. If you want Safari to automatically remove file names from the downloads list in the pane, click the button next to Remove download list items on the General preferences pane and select an option from the drop-down menu.

The Downloads option on the Window menu provides you with more control over your downloads. When you select Downloads from the Window menu, the Downloads Pane will open, listing all active downloads and also perhaps some past downloads, depending on your settings in the General preferences pane.
If you want to stop the download, click the Stop
button (a circle with an x in it) next to the file
name. The download will stop and you can resume it
whenever you want by clicking the Resume button
(a white curved arrow in an orange circle) next to the
file name.
You can view the progress of a file that is downloading
in the Downloads Pane and you can view the actual file
in the Finder by clicking the magnifying glass button
next to the file name. Downloaded files will be saved
to the downloads location you specified in the General
preferences pane.
Sometimes you might start downloading a file and decide
you don't want the file. To completely stop the
download and remove the download file from the
Downloads Pane, first click the Stop button next
to the file name and then click the Clear button
in the lower left corner of the pane. The file will be
removed from the Downloads Pane and Safari, but the
partially downloaded file will still be in the
downloads location on your hard drive and you'll have
to remove it manually in the Finder.