To change the download location in IE, you have to get into the registry.
To do this, enter regedit, and follow this path: HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
Right click on the white region of Regedit's right hand pane, click New, and then click String Value
Enter Download Directory for the name of the new DWORD Value and press Enter. The new value should now appear in Regedit's right-hand column.
Right click the new value and choose Modify.
Click Modify and set the Value Data field to be the path to the directory you want IE to send downloads, then click OK.