Download Folder Direction

Hello,

I already posted about me having problems with
downloading.
Normally it asks where to put the to-be-downloaded-file,
on my comptuer it automatically starts downloading after
i click the link. It doesnt ask where to put it, it just
puts it under Temporary Files.

Someone said I had to do Shift + Click, but that just
isnt working.
Someone else have a working solution?