You can change the download location in the Authorization window.
If you have auto-login enabled, you can open the authorization window through Main menu - Cerebro - Log off...
In the "Authorization" window, click "Advanced", and then "Connection settings".
In the "Connection settings" window, in the "File storage (Cargador)" section, in the "Locally on your computer" option, choose where you want your files saved to. You don't need to change the selected option, as by default "Both (Automatic selection)" is usually selected.