Sure, its easy, just create some folders in your document area, or your home folder. Name them something that makes sense then open up two finder windows.
Start dragging and dropping.
Unless you execute applications within the downloads folder, you'll not run into any problems. Its just the default location where safari puts downloaded files. From there you typically drag them over to applications or install them as needed. Other non application type files downloaded can be moved to a folder to your liking as well.
I typically keep a clean downloads folder so its easy dealing with it, I off load those items to different folders depending on the type and what I plan on doing.