Vista - Change default "Save" folder

Back in the good old days, (i.e before Vista) the use of IE and your required
download/save folder was easy.
I split/partition my drive so that I have all my programmes installed on C
drive, and all data (wherever possible) stored on my D drive. This makes for
easier recovery from crashes etc.

When I use IE7 and go to website A and try to download anything, my system
defaults to something ridiculous like C:\My Documents or My Pictures, and I
then have to click around to find my required folder on D drive.
If I then open another tab and go to website B, I have to repeat the whole
process again.
If I then go back to my first tab and leave website A and go to website C,
guess what? I have to go through the whole rigmarole again.
If I am on any website which opens a new window for each individual item I
am downloading, the whole procedure is again reeated.

When I used XP, I simply chose my required download folder at the beginning
of a session, and this stayed with me throughout my time on line.

Can anyone please help me to work around (or better still solve) this
ridiculous situation.

Thank you

Ian