Alright.
First of all, what are you downloading? Is it a pack (one archive RAR or ZIP) or is it a single map .osz file?
Either way, just put your downloads into the Songs folder and the game will take care of the rest (just put them in Songs and then go to Single Player and the game imports your maps). In the event of packs, extract the one big archive once then put the individual archives into the Song folder, same thing.
I think if you have single .osz files you can just double click them to make osu import them from anywhere. I haven't tried this in a long time but I remember this being the case when I first played this game.
Oh and thanks to whoever moved the thread.