Sometimes the game doesn't install a downloads folder for some reaons. It's one of those mystical questions, like "the chicken or the egg" or "the perfect number of chocolate chips in a chocolate chip cookie."
But this is easy to fix.
Go into your EA Games > Sims 2 Folder and right-click to create a new folder. When you name this folder, name it as below:
Downloads
Including the cap. The game won't recognize it unless it's typed just like that. And that's itt. :3