By default, all browsers do not ask you where you want to save your files, instead they automatically save them to the Downloads folder.
You can change this behavior by setting your browser to "always ask" when downloading. Doing so will allow you to select a location to save the file.
- Browse to: chrome://settings
Open the Chrome menu
⋮ → settings → Advanced ⌄
- Under Downloads locate and enable, “Ask where to save each file before downloading”
- Browse to about:preferences
Open: Firefox menu → Options (Windows) / Preferences (OS X) → General tab → Files and Applications
- Under "Downloads", locate and select “Always ask you where to save files”
- Open: Safari menu → Preferences → General tab
- Locate the "File download location" setting
- Set it to “Ask for each download”
- Click the ellipsis button in the top left of Edge and scroll down to Settings
... → Settings
- Scroll down to Advanced Settings
- Click "View advanced settings"
- Locate "Ask we what to do with each download" and toggle it On