If you are doing adhoc recordings then downloads go into the folder set in Settings > Output Folder.
If you are doing live stream monitoring or scheduled recordings then each monitor/schedule can override the output folder on its Settings tab.
Settings > Naming Rules allows you to setup rules for what the filname is going to be. This includes adding in folders.
Freshie
Am I missing something? Right now everything I download is going into the same default folder. Where is the option for subfolders based on download site?