This is not an OS issue, it's the browser. ]
If you are using Mozilla Firefox, there is a way to easily change the download folder, Open Firefox > Tools > Options > General Tab > Downloads > 1. choose [Save files to] then browse for the folder you want to save 2. or you can choose [Always ask me where to save files].
Other browser also have download option like this except IE.
If you are using Internet Explorer the only way I know so far is to install IE7 Pro add-on (free), included there is miniDM to manage your downloads.
To handle all your downloads you can try to use any Download Manager in the web[e.g.Free Download Manager (FDM), Internet Download Manager etc.]. Install any of this and you have the option to integrate any or all browser you have and this will manage all downloads you are taking.
when i am downloading a file it is automatically saved to my download folder, which is okay most of the time. however, there are times when i would like to save to my desktop and that option is not available. when i download a file the options i have are "which program would you like to open this file with" or to "save" the file. how can i set windows 7 to allow me to choose where to save my download files?

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