If you are using IE8, I don't think there is an option to change the default directory. (At least I have never found one) It normally defaults to the last known download. But on initial use, it's default is C:\Downloads
You can designate one of you choice, with a registry entry, if you are happy with doing that?
Make a backup of your registry first!
- In the left hand pane navigate to HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
- Right click on the white region of Regedit's right hand pane, click New, and then click String Value
- Enter Download Directory for the name of the new DWORD Value and press Enter. The new value should now appear in Regedit's right-hand column.
- Right click the new value...