You can add the media item directly from the Download folder, but I don't think you would want to because then your Download folder would become the permanent storage location for your media item. I would think that you would want a more permanent and more organized way to store your media.
And remember that media is not really loaded into RM. All RM stores for media is a pointer to the media item, with the "pointer" being the file name of the item and the folder and subfolders in which it is stored.
When I download a media item, I move it to a more permanent folder location before linking it into RM, and I rename it to follow my naming conventions before linking it into RM.