The default download directory for Internet Explorer is the My Document folder. To change this location, follow these steps:

1. Open the registry editor and navigate to HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer.
2. Create a new value of type String and name it Download Directory
3. Open the new value and enter the new directory.

The result should look like this:

Registy editor with changed default folder for the Internet Explorer (click to enlarge)