When I save ("save image as") shiny/glossy icons from other users on this site, they are saved in an "icons" folder in "downloads".

When I want to change an icon on my desktop to one of these, I "right-click" it and select "properties" and press "change icon" then "browse" to the folder but there are no files or folders in "downloads"

Im doing something wrong, not doing something right.

please advise