Default save in location for internet downloads using IE6sp1

Hi:

I download files from the internet a lot and I have made a download directory on the C:\ drive called My Downloads.

Every day I need to download something I have to change the save in box from (desktop) back to (C:\My Downloads).

In IE6 I have the box checked to save settings on exit but every time I reboot the system it changes back to desktop.

Does any one know how th save this change? it is a small thing but I need to do it a lot.

Thanks in advance.