Dear Claire Bear, also make sure you have all "hidden" files shown (this has to be done by the Administrator). And, also if you see "access is denied" that means the Administrator has not given you the PERMISSION to create new folders. Talk to whoever owns the computer and make sure they either give you the permission or ask them to create the folder you need.
BTW, you don't need to create a Downloads folder, anyway. When you download your first OFFICIAL animal, ZT2 will create it for you. :original: