So are you seelcting the Downloads folder as a Poser content directory (which means you have to click the DAZ Studio content directories button at the top of Edit>Preferences>Directories to get to the Poser list)? Although it is a bad idea to have one content directory nested inside another as it makes relative paths ambiguous - if you save a scene or preset calling for textures in the Downloads runtime both

/Runtime/Textures/Somefolder/Somefile.jpg

and

/Downloads/Runtime/Textures/Somefolder/Somefile.jpg

will be valid specifications of the location, and both will work on your machine as it is now, but the one starting with Downloads will not work if you move the files or if they are something you set up and give out as a freebie or a commercial product.