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 Set connection options 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.