It's possible to set Firefox ( or any browser ) to ask each time, just
as it's possible to set any browser in Windows to dump all downloads
into a specific folder. Nothing to do with the OS, it's a browser
setting thing

Ubuntu has very good searching capability but the method varies
according to which version of Ubuntu you are using. If you have the
Unity interface with Launcher and Dash Home then click on Dash Home
and just type the name of the file / folder you want to find. In other
version open whatever file manager you have and click on the 'Find'
icon to begin your search. Every one has its own quirks and needs a
little getting used to, but all searching is similarly something of an
art so it's worth getting into the habit of saving things where you
know where they are