Orbit Downloader, leader of download manager revolution, is devoted to new generation web (web2.0) downloading, such as video/music/files from Myspace, YouTube, Imeem, Pandora, Rapidshare. And to make general downloading easier and faster.
Firstly, you can set it in preferences. As the picture shows, you can browse your local path, and choose it.
Also, you can choose the download path either when you downloading some files. Click the nail icon after choose the path, it will be defaulted next time.