if you want to move the files to a different location after you've downloaded, then try tera copy from codesector. http://codesector.com/
if you want to download the files into a different folder, you might have to change the location where the files are being downloaded. in the youtube downloader, look for any setting called 'download location' and change it to your desired folder.
you cannot 'move' files to windows media player, as wmp is an application, not a folder/location. you can however, set windows media player or your preferred music player to monitor (in intervals) the folder in which you put the music files.
Usually, you can change the location where the files downladed through a web browser are stored.
I don't know about IE and FireFox, but in Chrome:
1. Go to options ( the wrench on the top right corner.
2.Click the Settings Tab on the left of the options page
3. scroll down to advanced settings and click on it4
4. Scroll down to where it says "Downloads" and there you can change the location to which all your downloads are stored AND you can even request that the browser ask where you want every download is stored before it is downloaded.