If you are saving a local document (such as from Word, Pages, etc...) it should list where it is being saved on the 'save dialog sheet' that appears when saving the document. If it points to "Desktop" then simply change it to "Documents". Most apps will store your last "save location".
If these are files you are downloading, via Safari, they should be going into your "Downloads" folder. You can verify this by doing the following:
open Safari, if it isn't already
Click "Safari" in the menubar
Select the General tab
Locate the setting "Save downloaded files to:" and make sure it is set to "Downloads".
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