On OSX (Apple Macintosh Leopard, 10.5) does firefox ignore your download directory and constantly dump files on the desktop? Does your desktop get incredibly cluttered?
In all likelihood you have updated to the version of OSX you have now. And it has left behind a piece that is ruining your day: ~/Library/Preferences/com.apple.internet.plist
Copy this to your Desktop, download something and test it out. You should suddenly find that the firefox is honoring its preference.