I prefer files being download directly to the desktop, but a lot of other people would prefer to download into a downloads folder, or a directory inside their Documents directory.

Changing this option is extremely easy. Just open Tools \ Options, and you should see the Downloads section right on the very first screen.

Click the Browse button to select a new folder. You can also choose to have Firefox always ask you where to save the files, and you can turn off the "Downloads" window (which always annoys the crap out of me, so it's an instant disable on every Firefox install)

This article is just one in a series covering how to use Firefox. I'm assuming it's a no-brainer for most of the geeks out there, but I want to create a good central repository of Firefox tips, so simple articles like this are a must.