You must change a registry settings, which you can do programmatically, see Registry Access Foundation Class in help.
http://www.windowsreference.com/internet-explorer/how-to-change-the-default-download-directory-for-internet-explorer/

>When downloading a file using internet explorer, selecting 'save target as', opens the last directory that was opened by windows.
>
>If i approach the same file using VFP programmatically
>

>oIE = CreateObject ("internetexplorer.application")
>oIE.NAVIGATE ("https://www.page_that_shows_the_file_i_want_to_download.com") 
>oIE.VISIBLE = .T. 
>

>
>can i control the directory choice before hand so that when i select 'save target as' the proper directory will appear
>
>CD c:\mydir has no effect
>
>btw there is no direct access to the file i want to download, it's name changes, and it is only accessible with password.
>
>
>thanks
>k