>In IE 9, the download fonctionality has changed. If we click on Save, which is part of a dynamic toolbar-like option which appears at the bottom of the browser at download time, where do those files get saved?

Check http://windows.microsoft.com/en-US/windows7/Downloading-with-Internet-Explorer-9-frequently-asked-questions

Where are downloaded files saved?

When you download files using Download Manager, they're automatically saved in the Downloads folder. This folder is usually located on the drive where Windows is installed (for example, C:\users\your name\downloads). For information about managing your downloads and changing where they are saved, see Using Download Manager in Internet Explorer

If you're saving a file, you can choose to save it to a particular folder. If you don't select a folder yourself, some files are automatically saved to a folder associated with the file type. For example, if you right-click a picture on a webpage, and then choose Save Picture As, it will be saved to the Pictures folder.