Internet explorer 9 downloads the file in to a default folder. The default download location folder can be changed using the Options menu.
Change the default location
Click the Tools menu available at the right hand side of the IE9 browser.
And select View downloads from the menu list.
This would display the following View Downloads window.
Click Options link, this would display the Download Options window. Using the Default download location you can change the download folder location in IE9. After specifying the required folder, click OK button to confirm the changes.