every time I download a ROM PJ64 won't put the ROM into it's directory.
Care to elaborate? I just can't follow your train of thought here.
Project64 doesn't automatically put ROMs anywhere. You need to put the ROM yourself into Project64's Roms folder for said ROM to appear in Project64's Rom Browser window. (Project64 looks for roms in it's Roms folder by default, but you can change this to whatever folder you like from PJ64's settings).
Note that Project64 doesn't recognize roms inside compressed archives, save ZIP files. It would do you a lot of good to read the Project64 User Manual, especially the Installation/Installing Games section.