Microsoft Edge will save items you want to download into your C:\Users\<username>\Downloads (%UserProfile%\Downloads) folder by default.
You can now add the Downloads button to the toolbar in Microsoft Edge. The Downloads button allow you to quickly view, manage, search, clear history, and change settings for your downloads from the toolbar in Microsoft Edge.
You can now also pin your downloads open in a pane along the right side of the browser. This allows you to see and manager your downloads while you browse and helps you stay more productive during those times where you need frequent access to your downloads.
This tutorial will show you how to pin and unpin downloads in a pane on the right side of the Chromium based Microsoft Edge.
Read more: Browsers and Mail - How to Pin and Unpin Downloads in Microsoft Edge | Windows Questions