Deleting files -- what is the difference between Remove Download and Move to Trash?

What is the difference between "Remove Download" and "Move to Trash"?

I realize Trash will need to be emptied, but what does remove download do?

I noticed this when using Finder and deleting some screenshots. In my mind, my screenshots are saved directly to the Desktop and Remove Download has no meaning.

(Part of my concern is that I keep finding files that I think I had already deleted. There seem to be copies all over the place.)