Yeah exactly, on Chrome by defaults, it saves automaticaly under a path. To change that you click on the menu (key in the upper right) then settings. Down in settings, there is line named show advanced settings, click on that and then on download, you have a case you can thick that is named always ask where you want to download the files or something similar (I'm translating from french so it might not be the exact same term but something along the line). Click on it then it will ask you every time you download something where you want it.
On IE you click on save as and choose the disk where you want the thing you're getting to be saved.