As default your path would be to your own accounts 'Documents'.
And as default your 'Documents' is not shared with other users on the pc, so that's probably not what is happening. Uless you've actually setup up 'sharing' in your network connections.
Are you specifically talking about 'downloading' stuff from the internet or actually 'installing' software?
My kids refer to the installation of software as 'downloading'. Are you doing the same?
If so, then once software is installed its available to everyone, unless you specify otherwise. You can use policies to do this (unless you have Vista Home Premium).
But to be honest the ideal scenario would be to:
have 4 'standard' user accounts, all password protected, which cannot install software.
1 x Adminsitrator account to do ALL the software installs.
Any of this make sense......i often don't this early in the morning!