They should only show in your downloads folder if your downloads folder is on another drive. If your downloads folder is on C:\ at "C:\Users\yourusername\Downloads", they should only appear in "C:\Users\yourusername\AppData\Local\temp".
There's no way to turn off the feature besides setting your downloads folder at the URL opera://settings/download to a folder on a drive that's not formatted as NTFS (so, FAT32).