You can save them in any folder or place you like, including on the desktop. The operation "File - Import CDPs" is exactly like downloading them from the DLS except that they are stored on your HDD instead of the Trainz Web Server.
If you use your browser and FTP to download an asset from the DLS instead of Download Helper you will get a CDP file which you will have to save to your computer (to a folder, the desktop, or wherever you want) and then use CMP and "File - Import CDPs" to install it. This sometimes works better than downloading directly via CMP.