How to download files from the net directly to a flash drive

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flatearthling

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I wish to download some very large files from the net. Is it possible to download them directly to a flash drive w/o writing to my hard drive 1st? I have a Dell 2300 w/ pentium4 and windows xp.
 
on the link that points to the download, right-click and use the Save Link As ...
then navigate to the driveletter for the thumbdrive and SAVE
 
I still think IE puts it in a temp folder before transferring to the drive. Opera will download it directly to the drive without a temp dir so you may give that a shot if what jobeard says doesn't work.
 
One of my more foolish friends was bittorenting on his flash drive...something like that will certainly lower your flash drive's lifespan.
 
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