Going to Tools and clicking on "Downloads" will give you something looking like this:
This is the Mozilla Firefox download manager, this feature mainly consists of 2 functions, you can view current downloads, and finished downloads. If you look at the screenshot above, the first thing I noticed was the pleasant user interface, good job Mozilla.
The highlighted area shows where files are stored by default, and clicking on the folder icon or name will open the folder in your favourite file explorer.
The Clean up button will let you clean the list of finished downloads on your download manager list.
In the screenshot above you see a download in action. As you see the download manager tells you how far it has come, what speed it's downloading at and how much time remains before the download completes. You've also get the choice to cancel or pause the download, very nifty if you're on a slow connection. :)
The open link will open the downloaded file in the default application,
if there aren't any applications defined for that file, Firefox will
ask you how it should be opened.
If you do a lot of downloading, you might want to look into installing the Download Statusbar extension, which has a lot of nice features that makes downloading files easier to manage.