By default, all files are saved in the downloads folder (see the section Where are files saved by default?).
Click the button → Settings.
In the lower part of the Settings page, click the Show advanced settings button.
In the Downloads section, make the settings.
To change the folder where files are saved, click the Change button.
If you want the browser to ask in which folder to save the file and under which name, select the Ask where to save each file before downloading option.
For more information, see the section Downloading files.