In IE you should usually have a dialog asking for ''run'' or ''save'' and ''save'' should then allow choice on location to store. Also if a link shows as direct to an .exe for example, right click and ''save target'' can be useful.
One useful fix might be to get a download manager - I use "Internet Download Manager" - which is a paid app, but there are one or two which I recall are free tho they carry ad baggage. "Gozilla" I seem to remember was one of those. Advantage can be that you ''intercept'' a download and have greater control over it.
