Usually when you download stuff from the internet you are using your web browser, so you have to set a folder in your HDD, where you want your download to be placed.
Depending on your web browser, just go to Option, then go to General Tab, then locate the Downloads, then set it to a folder in your HDD -- you may have to create a folder there, if there isn´t one.
There is no way to set your HDD as the C Drive, as you´ve installed the OS on it, but then you´ll see that it isn´t necessary.
Thank you. This should help alot now.