I'm on XP SP2 and don't have any problem opening a folder with a lot of files. (I don't use thumbnail preview and removed video preview to prevent accessing all videos when opening the folder).
It's a little slower when the content is big (lot of GB in one file), but not when there are a lot of little files.
It looks like it's accessing it on the HDD before showing the folder's content.
You don't want to sort your downloads to different folders, you just want to move all your files to another, same, folder?
Then yes, just a batch file on your desktop will do it.
move c:\path\*.* E:\new_path\
If you want to sort the files according to file extension (only? that's cheap), then you can try Download mover like Dter ic suggested.
You said you like to download everything in the same folder so I won't propose you my add-on (but it's for firefox anyway, so I guess it won't help you).