If its going into your downloads folder, you can just right click on the downloads folder, then click on the location tab and then change the drive letter to the desired drive. Path for Windows 7 would be something like C:\Users\"name"\Downloads
You have to tell your browser what to do. As USA said above:
1. Display menu bar in Firefox if not already visible (right click on top are, check "menu bar").
2. Select Tools / Options
3. Under downloads pick "always ask me where to save files"
If ya still using Internet Explorer, this alone os a good reason to switch. In IE, it's a pain in da butt