Best practice in moving files from Downloads to other locations

I'm new to Mac and tend to download or get sent a fair few files, apps and so forth.
Over the past few weeks the Download stack has started looking rather messy (full of logos from corporate emails and that sort of crap).
So I thought I'd have my first clean up and start to put the right docs in their appropriate folders...
Maybe it's me but it seems really clumsy. In Windows I can have two folders open at the same time and just click and drag between the two. In Mac I have to drag from the Stack into the right Documents folder. Then, if it's an App, I have to close Documents and open Applications etc.
Is there an easier way to go about this? It would seem far simpler to save your attachments direct to a chosen location rather than have everything bundled up in a Downloads folder which you've then got to sort through at a later stage...
Forgive the ramble - I'm new to all this...!
Nick

The others addressed your issue, but since you're new to Macs, see these when you sort things out:
Switching from Windows to Mac OS X,
Basic Tutorials on using a Mac,
Mac 101: Mac Essentials,
Anatomy of a Mac,
MacFixIt Tutorials,
MacTips, and
Switching to the Mac: The Missing Manual, Leopard Edition.
Additionally, *Texas Mac Man* recommends:
Quick Assist.
Welcome to the Switch To A Mac Guides,
Take Control E-books, and
A guide for switching to a Mac.

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