According the .mp3:
1) Start iTunes
2) Click iTunes->Preferences
3) Select Advanced
4) Make sure you check the box: Copy files to iTunes Media folder...
If that box is checked you should be able to delete the .mp3s in your download folder without losing the songs.
.exe should not work under mac, those are windows only binarys.
.ics are some iCal entrys. You should check if those contain important events or not before deleting.
.mpkg/.pkg is an installer ~same as .dmg.
.xul never heard.
.dat better not delete. Many programs use .dat files. It seems you started a program inside your Downloads folder which created that file (and may need it again)