I found this in a few different places around the 'net - hopefully it's helpful:
Make Sure Downloaded Files Are Easy to Find Later
With Windows XP, it's easier than ever to download software updates, games, sounds, pictures - just about anything. But sometimes it's hard to find them again on your hard disk. To make sure you can, specify where you want a downloaded file to go.
- After you've indicated you want to download an item, a dialog box asks "What do you want to do with this file?" Select Save this program to disk.
A dialog box opens where you can specify a folder where you want the file to go.