Presently, downloads will go only to one place. You can change the location in the Registry -- but still one place. There are a couple of threads at Microsoft where people are complaining about it -- including me. A Microsoft Tech wrote they are working on the issue. I replied to him that the issue needs "save as" to get fixed. I signed-up to the thread but have not seen anything more recent.
This issue plus a few others have caused me to make IE the default - at least until MS fixes a few of the issues with Edge.