I don't know of a download manager that does that. But, maybe you can write a shell script that will run in the background and constantly checks for files in a directory and then move the files to the correct folder.
Then you can set FireFox to download all files to that folder.
I'm not the best at scripts but something like the following.
Code:
i=1
mkdir videos
mkdir pdf
mkdir pics
while [ $i -le 10 ]
do
mv *.avi videos
mv *.mpg videos
mv *.pdf pdf
mv *.jpg pics
mv *.png pics
done
Some one could most likely improve on this alot.