It should give you the chance to change it.
If not, then try this:
You set this for each file type, e.g. for .zip
Explorer-View-Folder Options-File Types
Find the .zip association (may be WinZip File)
Edit, (or click Advanced on ME or XP) and check the "Confirm open
after download" box
The path to Folder Options may vary according to your operating
system. It may be:
Explorer-View-Folder Options
Explorer-Tools-Folder Options
Start-Settings-Folder Options
Start-Settings-Control Panel-Folder options.
Another option is to change it in the Registry.
Start-Run-REGEDIT
Navigate to HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
The value to change is "Download Directory"
....Alan