So, you didn't download them you copied them from another drive. This is usually done by pointing the wanted file at a specific target directory.
cp /dev/sdd12/foo/bar /dev/sda2/home/clem/whatever
or by mounting the external drive and simply copy/pasting the file(s).
mount /dev/sdd12 /media/external
At which point the entire drive is available to you in Thunar in the /media/external directory.
You should be able to mount an external through Thunar by simply clicking on the external drive as shown in your right panel too which is usually quicker and will also put it in the /media directory.
How did YOU "download" these files?