When you download something from servers, it is not saved in the approriate folders; instead they are stored at 'cache' folder.
By default, UT will erase them in 30 days. You can change them to whatever day you wish in UnrealTournament.ini. Setting it to 0 will make cache stay pernament.
There are good programs made out there, but you can also put files into approriate folders manually.
Manual way: Open up cache.ini in the cache folder of UT, and you'll see weird filenames ending with .uxx and then a thing pointing to what it really is. So let's say 'zxlig0ae7025125.uxx' points to a map called CTF-MyFirstN00bieMap.
Now look for that weird .uxx file and rename it to the actual name (for this example, 'zxlig0ae7025125.uxx' would become CTF-MyFirstN00bieMap.unr) After renaming, put them into approriate folders. (.unr files would go to Maps folder)
See? Do the same for others.
Advice: NEVER put CSHPs or other commonly used mods/muators such as BDB MapVote into System folder. Just leave them be, or you'll get barrage of 'Version Mismatch' errors.
Hope this helps, and welcome to PuF!
Edit: Butress I beat you to it!