In SAP, if you only sometimes have to do data downloads, I suppose that it’s not going to bother you that the proposed path is not where you want to store your file. You’ll just select another place to store your file.
However, if you have to do this on a regular basis it can rapidly become tedious to have to select another path. So here’s a tip – you can use your user parameters to store the default path where your want to store your files.

User parameter GR8 is used as a default for download.
User parameter GR9 is used as a default for upload.

As a parameter value, type in the path where your files should be stored. So if you want to by default, store your files in the folder ‘foobar’ that is on your ‘C’ drive, then the parameter value should be :C:foobar