It can be changed.
I like that feature. Internet Explorer used to be infuriating when you go to download something, and rather than save the file where you last saved something, it places the file in some whacked 'temp' directory.
That's why god gave us rt-clk / save as in IE.
But thanks for the info - it would be nice to have a default folder for downloads. I don't like IE's 'last folder used'.