Google Talk (Gtalk) does not previously have the option of sending or receiving files. But now it provides these options. But I don’t think it provides the option of specifying where to store them when you receive a file. It creates a default directory Google Talk Received Files in which all the files you receive gets stored.
You can find this directory under your My Documents folder, so the directory will be C:\Documents and Settings\username\My Documents\Google Talk Received Files. You can also go here by clicking Start -> My Documents under this you can find the directory Google Talk Received Files