You would need to manually create those inside your user folder that is inside the C:\Users on your C drive.
Then you would need to re-register those folders in Windows in their original locations.
To do that:
After you create the new folders, in the left pane of File Explorer, right click the Desktop folder and select Properties.
Then on the properties dialog, select the Location tab, and click the 'Restore Default' button.
That process will link the new Desktop folder to the references Windows uses for that folder.
Then do the exact same for the Documents and Downloads folders.