Hello, hope this doesn't count as an unnecessary necro. This thread pops up when I search "WC3 downloads stop directorys/folders creation" or some combination of words thereof on Google, so I imagine other people are also being funneled here. Since there's no solution presented here, decided to post my own (works for Windows 10):
What you can do is prevent WC3 from making folders in your C:\Users\[USERNAME]\Documents\Warcraft III\Maps\Download by modifying the permissions. Right click Downloads, then switch to the Security tab, select Advanced. Select Disable inheritance - when prompted select Convert inherited permissions into explicit permissions on this object. Select your username and select Edit. Select Show advanced permissions then uncheck Create folders / append data. Finally, select OK -> OK -> OK.
As long as you're not running WC3 as administrator, this should prevent it from creating folders, and therefore the maps, in your downloads.