Here's some answers I got:
Save As location change
To change the default folder to which Internet Explorer will save items, you must change the value for Personal in the following registry keys to specify the new location:
HKEY_USERS\Default\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders
HKEY_USERS\Default\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
---------------------------------------------------------------
See also TweakUI > My Computer