Extra files that download with autos? keep em or safe to delete?

[who me?]

Hi,
   Whenever I download an auto I always end up with extra files on my desktop..ie.. dat files, diag files, seven tree files,.... blacklist files I am sure are for the words used in an auto like jongbot..but sometimes I have files with like cog wheels on them. dll I think those are.
What should I do with these? delete them, save them? Will the auto play right if they are deleted?...like the blacklist file?
Right now I created a folder on my desktop where I shove them all for safe keeping and to keep away the clutter.
Anyone else get these? Any answers on what to do with them? :-\

[groomsy]

they need them files to run the autos, i suggest puttinng all your autos in a folder and make shortcuts

[Jewel]

I always save the download to my documents and then send a shortcut to my desktop..then you do not see all those extra files on your desktop.