>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.

Thanks, when clicking in Tools\View downloads, we can see where they were saved. There is also an option at the bottom, known as Option, which allows us to change the default folder. When changed, they were saved exactly where I wanted them to.