Stop downloaded files saving to Temporary Internet Folder

First, apologies if this is posted in the wrong section, I'm not sure which
section best fits the question.

I have just started using Vista Home Premium and don't like the way that
when downloading files (specifically Ancestry image files) my computer no
longer lets me save them where I choose. I go through the procedure of
choosing the folder where I want my file to save, but Vista then decides that
"for the computer's security" it will save them to the Temporary Internet
Files Folder instead. Surely, if I have decided that I would like to save
these files into a specific folder I should be able to do so. I have read a
few messages about this issue, but none of them seem to give a solution to
turning this behaviour off.

Also, if this is a security measure, how does the file being in a different
folder make it more secure. Isn't the file just a much a security risk once
it is on the computer regardless of where on the computer it is?

Thanks in advance for any help.