I was having the same annoying problem.
I disabled the background downloader, then deleted the [HKEY_CURRENT_USER\Software\SolidWorks\IM\BackgroundDownloadRequest] key from the Windows Registry. After re-enabling the background downloader, the rogue folder no longer reappears.
If you choose to try this, it is always a good idea to back up the key before deleting it from the registry.
Thank you very much for that, worked perfectly.