Observe carefully the process of download. I assume you have your UAC on!
When the download comes in it should ask you for a permission and offer you
a window. There should be a button: Browse. Click it. Choose the directory
you want.
Another option is the pane on the left hand side. It also allows you to
redirect the download, as far as I remember. The indisputable fact is that
it is POSSIBLE. Just watch out.
Most of the downloads should go into Temp folder, like when you download
software that you run right after it. You have no need to save the file.
Just click Run. The Temp folder is cleaned after you sign off.
This is exactly what happened. When the file was finished
downloading, it was an *.iso file. It opened my Nero and it burnt the
file to DVD. Later that night, I wanted to burn another copy for my
son. Yes, as you said, it had deleted the file. I wanted the option
to save it to a file and not have it deleted, unitl I wanted to delete
it. That is how it works in XP - but is never gave me that opporunity
in Vista - was hoping there was a way to force it to give me the
option. It is a real problem to spend four hours downloading the file
and have Vista detele it without asking me
Hal