Windows Phone 8 does not seem to have any downloads folder. Android has Downloads app on few phones like Galaxy S2 etc. You can access other folders or directories using popular ES File Explorer in android. Windows Phone 8 does not seem to have any app to explore files or folders etc.
If you download any files like pdf, word documents, mp3 songs, zip file etc using Internet Explorer in Windows Phone 8, It tries to open the file automatically using associated apps. If you don’t have any associated app, It displays option to search in the app store to open such files. Internet Explorer does not have any download manager.
How to access download manager or downloaded files on Windows Phone 8 like Lumia 920, HTC 8X
IE on Windows Phone 8 does not have way to access downloaded files history. You need to use different browser like UC Browser.
1. Download & Install UC Browser from Windows Phone App Store. It is a free app. It is one of the popular apps on Windows Phone Store.
This browser app has Download manager to manage downloads. It has history of downloads. You can Save downloaded files to Sky Drive. It opens downloaded files with associated apps.
2. Open UC Browser app and download files from Internet as you normally do. It displays Download Manager as it downloads file. For example, you can download a ringtone and set it as ringtone directly from the browser.
3. If you want to access Downloads, Open the UC Browser > Go to Menu as shown above > Tap on Downloads to view downloaded files.
4. It has other features like Web Search using Google Search instead of default Bing Search, Incognito Browsing, Smart Downloads etc.
This app works on all Windows Phones including Nokia Lumia 920, 820, 810, 822, HTC 8X, 8S, Samsung Ativ etc