Most users that I know of just save their downloads to the desktop and work with them from there.
And I don't mean what the Downloads Manager puts in My Downloads.
With win98 I used to view files on the Internet and it was possible to find it in Windows temporary Internet folder, then save it. With my upgrade to XP, have I been prioritized from doing that type of thing.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic