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
Visit chrome://settings or open the Chrome menu (three stacked dots) and navigate to Settings → Advanced
Under Downloads, locate and enable “Ask where to save each file before downloading”
Visit about:preferences, or open: Firefox menu → Options (Windows) / Preferences (OS X) → General tab → Files and Applications
Under Downloads, select “Always ask you where to save files”
Open: Safari menu → Preferences → General tab
Locate "File download location" and set it to "Ask for each download"
Click the ellipsis button in the top left of Edge and then click Settings
Select Downloads and toggle on "Ask me what to do with each download"