I repeat - everything that you do to make files (or download files) goes into All My Files - that's why it is there.
There's nothing that you can do to change the fact that everything goes into All My Files.
I don't use All My Files myself - I just ignore that feature.
Yes, Screen shots go into Documents, if that's where you want them to go.
That default location for saving screen shots does not affect your location for downloads in any way. It's completely different. I prefer to use my Pictures folder for that, but Documents is a good place, too. I really DON'T like to save screen shots on my desktop. Too messy - but that's just me!
You can change the default destination for many files with
OnyX, or one of the other system utilities that you can find on the net. I like OnyX for those kind of things, and you may want to check it out.