When a user starts downloading any file using Firefox, the files are saved to a location in their Machine. This location can be changed to users preference. There is no difference between download location change in Firefox 3.0 and Firefox 2.5. The location can be changed by by accessing the Tools -> Options menu.
In the Main tab, under Downloads section, Save files to option can be used for changing the download location. By click Browse button you can choose the required folder where you want Firefox to save the downloaded file.