Found this, hope it helps. You can also change what program opens what here to.
Sometimes when downloading files with IE and the little box pops up.. you click never ask me this again by mistake.. Or it is simply downloading to the wrong location... If you want to change the location or have it prompt for downloads you can try this...
My Computer... Tools... Folder Options...File Types.
Scroll down to the extension type of the file type your trying to download (.zip/exe ect)
Click the Advanced button... Check "Confirm open after download"...
It should now prompt you to save the file and where you want to save it..
Sometimes when downloading files with IE and the little box pops up.. you click never ask me this again by mistake.. Or it is simply downloading to the wrong location... If you want to change the location or have it prompt for downloads you can try this...
My Computer... Tools... Folder Options...File Types.
Scroll down to the extension type of the file type your trying to download (.zip/exe ect)
Click the Advanced button... Check "Confirm open after download"...
It should now prompt you to save the file and where you want to save it..