What is occurring is that Windows is organizing by type, then by alphabetical; your folders are being alphabetized, then the .dls are being arranged afterwards. Unfortunately, I just tried to organize them ONLY by alphabetical and you can't do it; the only other method is to right click in the downloads folder, and unclick the "Auto Arrange" spot under "Arrange Icons by" - then when you arrange them yourself the computer shouldn't move them around on you when you exit the folder.
Hope that helps!