If you are using IE:
Use a registry editing tool to navigate to the following key:
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
Insert a value with the following details:
Data Type: SZ
Value Name: Download Directory
Value: Full path of directory you wish to use.
If you are wanting to do this for MS Word , go to tools -> options (within word), and the File Locations tab.
I'm sure you can do it for other applications either through their options/prefs or through the registry.