When you start downloading a file from Firefox, by default the file downloaded is saved to your desktop. The Download location can be changed by using the Firefox options.
Click Tools Menu in Firefox followed by options menu. This would display the below dialog box
In the main tab, under downloads section you change the download location by using the Save files to property. And on selecting Always ask me where to save files option, a file save dialog would appear instead of downloading a file to a default location.