Almost all newest version of browsers now has specific location for storing download file. When you download file it will save in the specific download location files. It also do in Internet Explorer 9 which has download location in Users\username\Downloads folder. Like another browsers, you can also change the download location.
The tutorial do in Windows 7, it seems you can also do the same things in Windows Vista
Below how to change download location in Internet Explorer 9
On Internet Explorer 9 open View Downloads window. Pressing Ctrl-j, or clicking on Tools > View Downloads in the menu bar of the browser.
Click on Options in the lower left corner of the screen opens another window with options to change that downloads folder to another path
Change the default download location by click Browse and select folder to set as default download location.
Internet Explorer 9 will use the new download location for all future file downloads from that moment on.