I remember that when I downloaded things the downloads window didn't pop up, but instead the icon on the dock just notified me. I did something and now the window comes up when I download something, so how do I stop it from appearing?
Well, under Safari > Window > Downloads there is the option to show Downloads, but it looks like a per-session activity. Best advice therefore is to switch to Firefox.
Good guess, but that's the Downloads folder, where files are downloaded to. The Downloads Window is a window that shows the progress of files being downloaded. The menu that pops up on the folder only affects the folder, not the window.
Switching to another program just because one function isn't available or obvious is hardly good advice. (I can't find the window defroster, so I'll just buy another car!)