If open the Downloads in FF under Tools in the menu it will take you to the
downloads page and you can Right Click on individual files in the list and
either Open or Open Containing Folder. If you get in the habit of saving
them to the same location then you can make a shortcut on your desktop,
panel or launcher, depending on the desktop environment that you are using.

I save various kinds of files in the appropriate place instead of one.
Music goes in a Music folder, Pictures go in Pictures, PDFs go in
Documents, for example. This takes a bit more work as you save, but it
makes it easy to find things on the back end. It all depends on how you
work.