By default, all browsers do not ask you where you want to save your files, instead they automatically save them to the Downloads folder.
You can change this behavior by setting your browser to "always ask" when downloading. Doing so will allow you to select a location to save the file.
Below are instructions for specific browsers: Chrome, Firefox, Safari, and Edge
Browse to: chrome://settingsorOpen the Chrome menu⋮ → settings → Advanced ⌄
Under Downloads locate and enable, “Ask where to save each file before downloading”
Browse to about:preferences
Open: Firefox menu → Options (Windows) / Preferences (OS X) → General tab → Files and Applications
Under "Downloads", locate and select “Always ask you where to save files”
Open: Safari menu → Preferences → General tab
Locate the "File download location" setting
Set it to “Ask for each download”
Click the ellipsis button in the top left of Edge and scroll down to Settings... → Settings
Scroll down to Advanced Settings
Click "View advanced settings"
Locate "Ask we what to do with each download" and toggle it On