This is done within the browser. Here is how to do it in Chrome, IE and Firefox.
In Chrome, click the wrench in the upper right hand corner, "Options", "Under the hood", and beside "Download" change "Download location:" to the directory you'd prefer your downloads to go to (e.g. C:\Users\rls\Downloads).
You can also check/uncheck the option: "Ask where to save each file before downloading".
You can also clear any auto-opening settings you've previously defined here.
In IE, from the menu bar click on "Tools", "View Downloads". At the bottom left hand, click on "Options". Browse and select your preferred download folder here.
In Firefox, Tools, Options, General, Downloads,