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.
Chrome
Browse to: chrome://settings or open the Chrome menu⋮ → settings → Advanced
Under Downloads locate and enable, “Ask where to save each file before downloading”
Firefox
Browse to about:preferences or open: Firefox menu → Preferences → General tab → Files and Applications
Under "Downloads", locate and select “Always ask you where to save files”
Safari
Open: Safari menu → Preferences → General tab
Locate the "File download location" setting
Set it to “Ask for each download”
Edge
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
