I found the following link and tried it to set the Downloadfolder to Downloads in my Homefolder.
But when I download something, it goes somewhere to ...\AppData\Local\Microsoft\Windows\Temporary Internet Files\
Edit:
For regular files that works as expected. But when I download a zip File as in http://www.powergui.org/entry.jspa?externalID=3371 from the download link in the red box, the download goes to ...\Temporary Internet Files\