Go to Start -> Run -> REGEDT32 and find/select HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer. Find the key “Download Directory” and edit to the location of your choosing. Now, IE will by default show that location when saving new files from the Internet.

NOTICE: Always be careful when editing the registry. You should always make a backup of the registry before making changes. You can make a backup using your registry editor.