When you are about to start downloading something, it usually downloads to a preset location on your mac.
When you are using a browser to download, in the preferences you can find an option of setting where the files are downloaded to or you could set it to ask you where to save the files every time you download something.
When downloading torrents, the torrent application also has a preferences pane where you can set where the files are downloaded into.
However, for anyone in this forum to help you, you must provide some more details about what you are using to download files.
i.e what browser, downloader app or whatever.