Hopefully, this is the right forum.

Somehow, my "Downloads" folder was deleted and I don't know when or how, it's just gone.

I would like to replace it but do not recall where it belongs or if it requires any specific procedure to replace. Does anyone have any suggestions?

Not sure how much it matters, but in Windows 8 the Downloads folder is located in C:\Users\<myuser>\Downloads

then when inside that folder right click on Favourites on the left and select "Add current location to favourites".

Once you've done both of those steps you should be back to how you were before (not certain it'll pick up the same icon automatically though).