How to...

Clarifications

Unless the program supports that, I do not know of an easy way to do it. You usually can specify what directory you want files saved in, but not the specific file type.

You have to click Save anyway, right?

You can also use a download manager like this
http://www.freedownloadmanager.org/
then configure it to save such files in a particular directory.

For Free Download Manager, once you have it installed, start the program if it isn't running. It sits in the system tray, so double-click the icon there to open the window.

In the right pane, right-click on the All Downloads folder. Click Create New Group. Give the group a name, put the file extension in the appropriate box, and select your download folder by browsing. Desktop =
C:\documents and settings\%username%\desktop.

Have fun.