This problem happens when someone tries to move the Downloads folder to the D drive and does not specify a folder on the D drive to move to, what happens is the Downloads folder becomes merged to the D drive and essentially, Windows thinks all files on the D drive are located inside the Downloads folder, that is why you are seeing that error.
1
Try this method first to resolve the problem.
Right click the Downloads folder and select Properties.
On the resulting dialog, select the Location tab.
Click the button to restore its default location.
Then you will be asked if you want to merge the folder contents, you must select NO.
Then when the Downloads folder has been moved back to the C drive, manually drag any files that should be in the Downloads folder from the D drive into the Downloads folder.
2
If that does not resolve the problem.
Click your Start Button, type regedit and hit Enter to open the Registry Editor.
Click View and make sure 'Address Bar' is turned on.
Paste this into the Address Bar at the top and hit Enter.
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
Please provide a screenshot of that Registry Editor page.