Stop downloaded files saving to Temporary Internet Folder

First, apologies if this is posted in the wrong section, I'm not sure which
section best fits the question.

I have just started using Vista Home Premium and don't like the way that
when downloading files (specifically Ancestry image files) my computer no
longer lets me save them where I choose. I go through the procedure of
choosing the folder where I want my file to save, but Vista then decides that
"for the computer's security" it will save them to the Temporary Internet
Files Folder instead. Surely, if I have decided that I would like to save
these files into a specific folder I should be able to do so. I have read a
few messages about this issue, but none of them seem to give a solution to
turning this behaviour off.

Also, if this is a security measure, how does the file being in a different
folder make it more secure. Isn't the file just a much a security risk once
it is on the computer regardless of where on the computer it is?

Thanks in advance for any help.

No help for this? I'm having the same problem....