It would help to know what application you are downloading it from (internet explorer, ICQ, or other applications) and your operating system. If you're asking about downloading from IE using Windows XP (maybe the same in Win2000), it defaults to a temporary internet folder under "document and settings." You can change that by going to TOOLS, INTERNET OPTIONS, SETTINGS, MOVE FOLDER, then specify your new folder. If changing default folder is not what you want, and just want to specify folder each time you download, try right clicking on the page or the link, and specify where you want to SAVE AS the file.
In earlier version of Windows, I think it defaults to WINDOWS, TEMP folder. For all other applications, you can usually change the folder location under PREFERENCE.