A download goes to only one location.
So I suspect it's a location your sister can see also. In that case either download to a different location or change the security settings of the current location.
In case of doubt ask your relative to help you.
about 2 years ago my relative turned on some kind of sharing thing. the things i download also go to my sisters user. i would like to turn this off so she can’t get my files. Please help me